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Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems
Elisa Mastrogiacomo, Marco Tarsia
We study time-inconsistent recursive stochastic control problems, i.e., for which Bellman's principle of optimality does not hold. For this class of problems classical optimal cont…
math.OC2026
Equilibrium strategies for constrained time-inconsistent control problems
Elisa Mastrogiacomo, Marco Tarsia
This paper addresses the issue of time inconsistency in recursive stochastic control problems, in which the forward state process evolves under the influence of an additional recur…