Here, there and everywhere: state-dependent time-inconsistent stochastic control
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arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2026
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| _version_ | 1866918403732668416 |
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| author | Possamaï, Dylan Polo, Mateo Rodriguez |
| author_facet | Possamaï, Dylan Polo, Mateo Rodriguez |
| contents | This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic differential equations (BSDEs). These equations encapsulate the equilibrium value function essential for resolving cases where the present state affecting the target functional triggers the inconsistency. Additionally, the paper offers an application exemplifying this theory through the time-inconsistent linear--quadratic regulator. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2603_22022 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Here, there and everywhere: state-dependent time-inconsistent stochastic control Possamaï, Dylan Polo, Mateo Rodriguez Optimization and Control Theoretical Economics Probability Mathematical Finance 60G07 This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic differential equations (BSDEs). These equations encapsulate the equilibrium value function essential for resolving cases where the present state affecting the target functional triggers the inconsistency. Additionally, the paper offers an application exemplifying this theory through the time-inconsistent linear--quadratic regulator. |
| title | Here, there and everywhere: state-dependent time-inconsistent stochastic control |
| topic | Optimization and Control Theoretical Economics Probability Mathematical Finance 60G07 |
| url | https://arxiv.org/abs/2603.22022 |