TIME-INCONSISTENT CONSUMPTION-INVESTMENT PROBLEMS IN INCOMPLETE MARKETS UNDER GENERAL DISCOUNT FUNCTIONS

被引：11

作者：

Hamaguchi, Yushi ^{[1
]}

机构：

[1] Kyoto Univ, Dept Math, Kitashirakawa Oiwake Cho, Kyoto 6068502, Japan

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2021年 / 59卷 / 03期

关键词：

time-inconsistency; open-loop equilibrium; incomplete market; forward-backward stochastic differential equation; UTILITY MAXIMIZATION;

D O I：

10.1137/19M1303782

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper, we study a time-inconsistent consumption-investment problem with random endowments in a possibly incomplete market under general discount functions. We provide a necessary condition and a verification theorem for an open-loop equilibrium consumption-investment pair in terms of a coupled forward-backward stochastic differential equation. Moreover, we prove the uniqueness of the open-loop equilibrium pair by showing that the original time-inconsistent problem is equivalent to an associated time-consistent one.

引用

收藏

页码：2121 / 2146

页数：26

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