A general approach to non-Markovian time-inconsistent stochastic control for sophisticated players

Probability and Financial Mathematics Seminar

Meeting Details

For more information about this meeting, contact Kristin Berrigan, Anna Mazzucato, Alexei Novikov, Yuanyuan Feng.

Speaker: Dylan Possamai, Columbia

Abstract: This paper is the first attempt at a general non-Markovian theory of time-inconsistent stochastic control problems in continuous-time. We consider sophisticated agents who are aware of their time-inconsistency and take into account in future decisions. We prove here that equilibria in such a problem can be characterised through a new type of multi-dimensional system of backward SDEs, for which we obtain wellposedness. Unlike the existing literature, we can treat the case of non-Markovian dynamics, and our results go beyond verification type theorems, in the sense that we prove that any equilibrium must necessarily arise from our system of BSDEs. If time permits, an application to contract theory will be presented. This is a joint work with Camilo Hernández, Columbia University.

Room Reservation Information

Room Number: 114 McAllister

Date: 12/06/2019

Time: 2:30pm - 4:30pm