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001440785 001__ 1440785
001440785 003__ OCoLC
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001440785 019__ $$a1283821172$$a1283852753$$a1283949242$$a1294366212
001440785 020__ $$a9783030818432$$q(electronic bk.)
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001440785 020__ $$z9783030818425
001440785 0247_ $$a10.1007/978-3-030-81843-2$$2doi
001440785 035__ $$aSP(OCoLC)1283139361
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001440785 049__ $$aISEA
001440785 050_4 $$aQA402.3
001440785 08204 $$a515/.642$$223
001440785 1001_ $$aBjörk, Tomas.
001440785 24510 $$aTime-inconsistent control theory with finance applications /$$cTomas Björk, Mariana Khapko, Agatha Murgoci.
001440785 260__ $$aCham, Switzerland :$$bSpringer,$$c2021.
001440785 300__ $$a1 online resource
001440785 336__ $$atext$$btxt$$2rdacontent
001440785 337__ $$acomputer$$bc$$2rdamedia
001440785 338__ $$aonline resource$$bcr$$2rdacarrier
001440785 347__ $$atext file
001440785 347__ $$bPDF
001440785 4901_ $$aSpringer Finance,$$x2195-0687
001440785 504__ $$aIncludes bibliographical references and index.
001440785 5050_ $$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.
001440785 506__ $$aAccess limited to authorized users.
001440785 520__ $$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 makers 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 agents 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.
001440785 588__ $$aOnline resource; title from PDF title page (SpringerLink, viewed November 12, 2021).
001440785 650_0 $$aControl theory.
001440785 650_6 $$aThéorie de la commande.
001440785 655_0 $$aElectronic books.
001440785 7001_ $$aKhapko, Mariana,$$eauthor.
001440785 7001_ $$aMurgoci, Agatha,$$eauthor.
001440785 77608 $$iPrint version: $$z303081842X$$z9783030818425$$w(OCoLC)1257890161
001440785 830_0 $$aSpringer finance,$$x2195-0687
001440785 852__ $$bebk
001440785 85640 $$3Springer Nature$$uhttps://univsouthin.idm.oclc.org/login?url=https://link.springer.com/10.1007/978-3-030-81843-2$$zOnline Access$$91397441.1
001440785 909CO $$ooai:library.usi.edu:1440785$$pGLOBAL_SET
001440785 980__ $$aBIB
001440785 980__ $$aEBOOK
001440785 982__ $$aEbook
001440785 983__ $$aOnline
001440785 994__ $$a92$$bISE