Séminaire Périodique LAMSIN-MIMS-IRA

Possamai Dylan (ETH Zürich, Department of Mathematics)

Title:  Time-inconsistent control and backward integral Volterra SDEs

Abstract:   This work 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, thus highlighting a potential fruitful link with BSVIEs. This is a joint work with Camilo Hernández, Columbia University.

Le séminaire se fera a distance, sur la plateforme ZOOM.  Le lien est disponible ci-dessous.

Time: March 31, 2021 11:30 PM Tunis

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https://us02web.zoom.us/j/2616756988

IRA = Institute du Risque et de l'Assurance du Mans

Organizing Commitee:
Mohamed Mnif, Sadok Kallel, Anis Matoussi

Sponsors:
MIMS