Open AccessA non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion
Author(s) -
Ishak Alia
Publication year - 2019
Publication title -
mathematical control and related fields
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.658
H-Index - 21
eISSN - 2156-8472
pISSN - 2156-8499
DOI - 10.3934/mcrf.2019025
Subject(s) - dynamic inconsistency , mathematics , equivalence (formal languages) , exponential function , jump diffusion , stochastic control , optimal control , discounting , stochastic differential equation , quadratic equation , portfolio , mathematical optimization , jump , mathematical economics , mathematical analysis , economics , physics , finance , quantum mechanics , geometry , discrete mathematics , financial economics