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Article . 2024
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SIAM Journal on Control and Optimization
Article . 2024 . Peer-reviewed
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https://dx.doi.org/10.48550/ar...
Article . 2023
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Article . 2025
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Equilibria for Time-Inconsistent Singular Control Problems

Equilibria for time-inconsistent singular control problems
Authors: Zongxia Liang; Xiaodong Luo; Fengyi Yuan;

Equilibria for Time-Inconsistent Singular Control Problems

Abstract

We study a time-inconsistent singular control problem originating from irreversible reinsurance decisions with non-exponential discount. A novel definition of equilibrium for time-inconsistent singular control problems is introduced. For the problem with non-exponential discount, both sufficient and necessary conditions are derived, providing a thorough mathematical characterization of the equilibrium. Specifically, the equilibrium can be characterized by an extended HJB system, which is a coupled system of non-local parabolic equations with free boundaries. Finally, by showing the existence of classical solutions to the extended HJB system, the existence of equilibria is established under some additional assumptions.

Related Organizations
Keywords

Optimization and Control (math.OC), Actuarial mathematics, FOS: Mathematics, Optimal stochastic control, Free boundary problems for PDEs, singular control, free-boundary problem, equilibria, Mathematics - Optimization and Control, time-inconsistency, irreversible reinsurance

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
Green