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Abstract

Although our objective is to study time-inconsistent control problems, we will in fact make use of ideas from dynamic programming in our study. In this chapter we therefore give a brief summary of standard discrete-time dynamic programming. We will give the main arguments while going lightly on some of the more technical issues, sweeping measurability and integrability issues under the carpet.

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References

  • Bertsekas, D. P., & Shreve, S. E. (1978). Stochastic optimal control: The discrete-time case. Academic.

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  • Fleming, W., & Rishel, R. (1975). Deterministic and stochastic optimal control. Springer.

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  • Seierstad, A. (2009). Stochastic control in discrete and continuous time. Springer.

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Björk, T., Khapko, M., Murgoci, A. (2021). Dynamic Programming Theory. In: Time-Inconsistent Control Theory with Finance Applications. Springer Finance. Springer, Cham. https://doi.org/10.1007/978-3-030-81843-2_2

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