A Time-Inconsistent Stochastic Optimal Control Problem in an Infinite Time Horizon
Fuente:
arXiv
Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2025
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866908545347223552 |
|---|---|
| author | Wei, Qingmeng Yong, Jiongmin |
| author_facet | Wei, Qingmeng Yong, Jiongmin |
| contents | This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assumption is that people become rational after a large time. Under such a condition, the problem in an infinite time horizon can be decomposed into two parts: a non-autonomous time-consistent problem in an infinite time horizon and a time-inconsistent problem in a finite time horizon. Then an equilibrium strategy will be constructed. Both Bolza type problem and recursive cost problem are considered. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_14495 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | A Time-Inconsistent Stochastic Optimal Control Problem in an Infinite Time Horizon Wei, Qingmeng Yong, Jiongmin Optimization and Control This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assumption is that people become rational after a large time. Under such a condition, the problem in an infinite time horizon can be decomposed into two parts: a non-autonomous time-consistent problem in an infinite time horizon and a time-inconsistent problem in a finite time horizon. Then an equilibrium strategy will be constructed. Both Bolza type problem and recursive cost problem are considered. |
| title | A Time-Inconsistent Stochastic Optimal Control Problem in an Infinite Time Horizon |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2509.14495 |