Search button

ISEG 2S | A General Theory of time Inconsistent Control

20 Set das 14:00 às 14:01
Quelhas 6 | Floor 3 | CTT Room

 

Speaker




Tomas Bjork



Stockholm School of Economics






Presentation





A General Theory of time Inconsistent Control


Abstract

We develop a theory for stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We attach these problems by viewing them within a game theoretic framework, and we look for Nash subgame perfect equilibrium points. For a general controlled Markov process and a fairly general objective functional we derive an extension of the standard Hamilton-Jacobi-Bellman equation, in the form of a system of non-linear

equations, for the determination for the equilibrium strategy as well as the equilibrium value function. All known examples of time inconsistency in the literature are easily seen to be special cases of the present theory.

We also prove that for every time inconsistent problem, there exists an associated time consistent problem such that the optimal control and the optimal value function for the consistent problem coincides with the equilibrium control and value function respectively for the time inconsistent problem. We also study some concrete examples.


Complete calendar

To see the full calendar please
click here.

ORGANIZING TEAM

This seminars series is organized by
Joana Pais (ECO),
Raquel M. Gaspar (FIN/MG) and
Isabel Proença (QM).



MEETING THE SPEAKER

All speakers are available to meet faculty at ISEG before the talk. Slots are limited. To book your time with the speaker, contact one of the coordination team members.

MAILING LIST

To join the ISEG 2S Seminar Mailing List and receive regular information contact
Filomena Ferreira.



PARKING

If you come to the seminars at ISEG by car, please contact
Filomena Ferreira to assure your entrance into the park.