We consider the stochastic optimal control problem of McKean− Vlasov stochastic
differential equation where the coefficients may depend upon the joint law of the state and …

We study the McKean–Vlasov optimal control problem with common noise which allow the
law of the control process to appear in the state dynamics under various formulations: strong …

We propose a dynamic portfolio choice model with the mean-variance criterion for log
returns. The model yields time-consistent portfolio policies and is analytically tractable even …

In this paper, we determine a robust reinsurance contract from joint interests of the insurer
and reinsurer under the framework of Stackelberg differential game. More specifically, the …

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 study a McKean–Vlasov optimal control problem with common noise in order to
establish the corresponding limit theory as well as the equivalence between different …

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 …

In this paper, we study the optimal time-consistent reinsurance-investment problem for a risk
model with the thinning-dependence structure. The insurer's wealth process is described by …

In a continuous-time setting, the existing notion of equilibrium strategies for time-inconsistent
problems in the literature, referred to as weak equilibrium, is not fully aligned with the …

We consider a reinsurance problem for a mean-variance Stackelberg game with a random
time horizon, in which an insurer and a reinsurer are the two players. The reinsurer …