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Time-Inconsistent Control Theory

Author

Listed:
  • Tomas Björk

    (Stockholm School of Economics)

  • Mariana Khapko

    (University of Toronto)

  • Agatha Murgoci

    (Ørsted)

Abstract

We now move on to study time-inconsistent control problems in continuous time and, as in Part II, we use a game-theoretic framework, studying subgame-perfect Nash equilibrium strategies. It turns out, however, that the equilibrium concept in continuous time is quite delicate and so requires a detailed investigation. Our main result is an extension of the standard HJB equation to a system of equations: the extended HJB system. We also prove a verification theorem, showing that a solution to the extended HJB system does indeed deliver the equilibrium control and equilibrium value function for our original problem.

Suggested Citation

Handle: RePEc:spr:sprfcp:978-3-030-81843-2_15
DOI: 10.1007/978-3-030-81843-2_15
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