LEADER 05625nam 22007695 450 001 9910508437803321 005 20240214151952.0 010 $a3-030-81843-8 024 7 $a10.1007/978-3-030-81843-2 035 $a(CKB)4940000000616283 035 $a(MiAaPQ)EBC6797869 035 $a(Au-PeEL)EBL6797869 035 $a(OCoLC)1285780343 035 $a(DE-He213)978-3-030-81843-2 035 $a(PPN)258839260 035 $a(EXLCZ)994940000000616283 100 $a20211102d2021 u| 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aTime-Inconsistent Control Theory with Finance Applications /$fby Tomas Björk, Mariana Khapko, Agatha Murgoci 205 $a1st ed. 2021. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2021. 215 $a1 online resource (328 pages) 225 1 $aSpringer Finance,$x2195-0687 311 $a3-030-81842-X 320 $aIncludes bibliographical references and index. 327 $a1 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. 330 $aThis book is devoted to problems of stochastic control and stopping that are time inconsistent in the sense that they do not admit a Bellman optimality principle. These problems are cast in a game-theoretic framework, with the focus on subgame-perfect Nash equilibrium strategies. The general theory is illustrated with a number of finance applications. In dynamic choice problems, time inconsistency is the rule rather than the exception. Indeed, as Robert H. Strotz pointed out in his seminal 1955 paper, relaxing the widely used ad hoc assumption of exponential discounting gives rise to time inconsistency. Other famous examples of time inconsistency include mean-variance portfolio choice and prospect theory in a dynamic context. For such models, the very concept of optimality becomes problematic, as the decision maker?s preferences change over time in a temporally inconsistent way. In this book, a time-inconsistent problem is viewed as a non-cooperative game between the agent?s current and future selves, with the objective of finding intrapersonal equilibria in the game-theoretic sense. A range of finance applications are provided, including problems with non-exponential discounting, mean-variance objective, time-inconsistent linear quadratic regulator, probability distortion, and market equilibrium with time-inconsistent preferences. Time-Inconsistent Control Theory with Finance Applications offers the first comprehensive treatment of time-inconsistent control and stopping problems, in both continuous and discrete time, and in the context of finance applications. Intended for researchers and graduate students in the fields of finance and economics, it includes a review of the standard time-consistent results, bibliographical notes, as well as detailed examples showcasing time inconsistency problems. For the reader unacquainted with standard arbitrage theory, an appendix provides a toolbox of material needed for the book. 410 0$aSpringer Finance,$x2195-0687 606 $aSocial sciences$xMathematics 606 $aGame theory 606 $aMathematical optimization 606 $aFinancial engineering 606 $aCapital market 606 $aMathematics in Business, Economics and Finance 606 $aGame Theory 606 $aOptimization 606 $aFinancial Engineering 606 $aCapital Markets 606 $aTeoria de control$2thub 608 $aLlibres electrònics$2thub 615 0$aSocial sciences$xMathematics. 615 0$aGame theory. 615 0$aMathematical optimization. 615 0$aFinancial engineering. 615 0$aCapital market. 615 14$aMathematics in Business, Economics and Finance. 615 24$aGame Theory. 615 24$aOptimization. 615 24$aFinancial Engineering. 615 24$aCapital Markets. 615 7$aTeoria de control 676 $a515.642 676 $a629.8312 700 $aBjo?rk$b Tomas$0430105 702 $aMurgoci$b Agatha 702 $aKhapko$b Mariana 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910508437803321 996 $aTime-inconsistent control theory with finance applications$92902689 997 $aUNINA