time inconsistency

When time preferences in an intertemporal optimization problem are represented by non–exponential discounting, a control plan that is optimal today may no longer be optimal from the perspective of a future self. We examine this issue by revisiting four notions...

In the context of stochastic optimal control problems with a general discount function, we introduce the notions of *decomposability* and of *super-* and *sub-decomposability* of the discount function. We clarify that failure to decomposability leads to time inconsistency...