A Dynamic Approach for Some Time Inconsistent Problems

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：a234917658

【摘要】

：

　　We study precommitted strategy of time inconsistent problems,and we note that many such problems in the literature can be transformed into an optimization o

【作者】

：

ZhangJianfeng;

【机构】

：

Univ.of Southern California

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　We study precommitted strategy of time inconsistent problems,and we note that many such problems in the literature can be transformed into an optimization of a multiple dimensional controlled Backward SDE.We shall introduce a type of "forward utility" so that the problem,which is time inconsistent under the original fixed utility,becomes time consistent under our forward utility.We next characterize our forward utility as a solution to certain McKean-Vlasov type of equations.

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