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Last updated on 29 Oct, 2024 23:08:17 AEDSTView all revisionsView all revisions

Item specifics

Condition
Brand new: A new, unread, unused book in perfect condition with no missing or damaged pages. See the ...
ISBN
9783030818425

About this product

Product Information

This 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.

Product Identifiers

Publisher
Springer Nature Switzerland Ag
ISBN-13
9783030818425
eBay Product ID (ePID)
27049026091

Product Key Features

Publication Year
2021
Subject
Finance, Mathematics
Number of Pages
326 Pages
Language
English
Publication Name
Time-Inconsistent Control Theory with Finance Applications
Type
Textbook
Author
Mariana Khapko, Agatha Murgoci, Tomas Bjoerk
Format
Hardcover

Dimensions

Item Height
235 mm
Item Width
155 mm

Additional Product Features

Country/Region of Manufacture
Switzerland
Title_Author
Mariana Khapko, Tomas Bjoerk, Agatha Murgoci
Series Title
Springer Finance

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