The purpose of this book is to present an overview of, and introduction to, the time-
inconsistent control theory developed by the authors during the last decade. The theory is …

We develop a theory for continuous-time non-Markovian stochastic control problems which
are inherently time-inconsistent. Their distinguishing feature is that the classical Bellman …

A new definition of continuous-time equilibrium controls is introduced. As opposed to the
standard definition, which involves a derivative-type operation, the new definition parallels …

A game-theoretic framework for time-inconsistent stop** problems where the time-
inconsistency is due to the consideration of a non-linear function of an expected reward is …

We introduce a model for portfolio selection with an extendable investment universe where
an agent with mean-variance preferences faces a trade-off between exploiting existing and …

A new notion of equilibrium, which we call strong equilibrium, is introduced for time‐
inconsistent stop** problems in continuous time. Compared to the existing notions …

Time inconsistency is prevalent in dynamic choice problems: a plan of actions to be taken in
the future that is optimal for an agent today may not be optimal for the same agent in the …

We formulate the multiperiod, time consistent mean-CVAR (conditional value at risk) asset
allocation problem in a form amenable to numerical computation. Our numerical algorithm …

We consider three equilibrium concepts proposed in the literature for time‐inconsistent
stop** problems, including mild equilibria (introduced in Huang and Nguyen‐Huu (2018)) …

We study a dynamic mean–variance portfolio selection problem with return predictability and
trading frictions from price impact. Applying mean-field type control theory, we provide a …