Time-Inconsistent Control Theory with Finance Applications
portes grátis
Time-Inconsistent Control Theory with Finance Applications
Khapko, Mariana; Murgoci, Agatha; Bjoerk, Tomas
Springer Nature Switzerland AG
11/2021
326
Dura
Inglês
9783030818425
15 a 20 dias
682
Descrição não disponível.
1 Introduction.- Part I Optimal Control in Discrete Time.- 2 Dynamic Programming Theory.- 3 The Linear Quadratic Regulator.- 4 A Simple Equilibrium Model.- Part II Time-Inconsistent Control in Discrete Time.- 5 Time-Inconsistent Control Theory.- 6 Extensions and Further Results.- 7 Non-Exponential Discounting.- 8 Mean-Variance Portfolios.- 9 Time-Inconsistent Regulator Problems.- 10 A Time-Inconsistent Equilibrium Model.- Part III Optimal Control in Continuous Time.- 11 Dynamic Programming Theory.- 12 The Continuous-Time Linear Quadratic Regulator.- 13 Optimal Consumption and Investment.- 14 A Simple Equilibrium Model.- Part IV Time-Inconsistent Control in Continuous Time.- 15 Time-Inconsistent Control Theory.- 16 Special Cases and Extensions.- 17 Non-Exponential Discounting.- 18 Mean-Variance Control.- 19 The Inconsistent Linear Quadratic Regulator.- 20 A Time-Inconsistent Equilibrium Model.- Part V Optimal Stopping Theory.- 21 Optimal Stopping in Discrete Time.- 22 Optimal Stopping in Continuous Time.- Part VI Time-Inconsistent Stopping Problems.- 23 Time-Inconsistent Stopping in Discrete Time.- 24 Time-Inconsistent Stopping in Continuous Time.- 25 Time-Inconsistent Stopping Under Distorted Probabilities.- A Basic Arbitrage Theory.- References.
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time-inconsistent control;intrapersonal equilibrium;dynamic programming;stochastic control;Bellman equation;time-inconsistent stopping;non-exponential discounting;hyperbolic discounting;state-dependent risk aversion;linear quadratic regulator
1 Introduction.- Part I Optimal Control in Discrete Time.- 2 Dynamic Programming Theory.- 3 The Linear Quadratic Regulator.- 4 A Simple Equilibrium Model.- Part II Time-Inconsistent Control in Discrete Time.- 5 Time-Inconsistent Control Theory.- 6 Extensions and Further Results.- 7 Non-Exponential Discounting.- 8 Mean-Variance Portfolios.- 9 Time-Inconsistent Regulator Problems.- 10 A Time-Inconsistent Equilibrium Model.- Part III Optimal Control in Continuous Time.- 11 Dynamic Programming Theory.- 12 The Continuous-Time Linear Quadratic Regulator.- 13 Optimal Consumption and Investment.- 14 A Simple Equilibrium Model.- Part IV Time-Inconsistent Control in Continuous Time.- 15 Time-Inconsistent Control Theory.- 16 Special Cases and Extensions.- 17 Non-Exponential Discounting.- 18 Mean-Variance Control.- 19 The Inconsistent Linear Quadratic Regulator.- 20 A Time-Inconsistent Equilibrium Model.- Part V Optimal Stopping Theory.- 21 Optimal Stopping in Discrete Time.- 22 Optimal Stopping in Continuous Time.- Part VI Time-Inconsistent Stopping Problems.- 23 Time-Inconsistent Stopping in Discrete Time.- 24 Time-Inconsistent Stopping in Continuous Time.- 25 Time-Inconsistent Stopping Under Distorted Probabilities.- A Basic Arbitrage Theory.- References.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
