Time-Inconsistent Consumption-Investment Problems in Incomplete Markets under General Discount Functions
نویسندگان
چکیده
In this paper, we study a time-inconsistent consumption-investment problem with random endowments in possibly incomplete market under general discount functions. We provide necessary condition and verification theorem for an open-loop equilibrium pair terms of coupled forward-backward stochastic differential equation. Moreover, prove the uniqueness by showing that original is equivalent to associated time-consistent one.
منابع مشابه
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ژورنال
عنوان ژورنال: Siam Journal on Control and Optimization
سال: 2021
ISSN: ['0363-0129', '1095-7138']
DOI: https://doi.org/10.1137/19m1303782