| Abstract: |
| We provide a general framework to solve equilibrium HJB equation system for time-inconsistent control problems by entropy-regularization. The controlled process is given by a SDE with no control on the diffusion term. We show the existence of solution/equilibrium with positive entropy weight, then prove the existence of relaxed equilibrium to the original time-inconsistent control by vanishing the entropy weight. This talk is based on joint works with Xiang Yu, Jingjie Zhang and Zhou Zhou. |
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