Existence of Markov equilibrium control in discrete time

Abstract

For time-inconsistent stochastic controls in discrete time and finite horizon, an open problem in Bj\"ork and Murgoci (Finance Stoch, 2014) is the existence of an equilibrium control. A nonrandomized Borel measurable Markov equilibrium policy exists if the objective is inf-compact in every time step. We provide a sufficient condition for the inf-compactness and thus existence, with costs that are lower semicontinuous (l.s.c.) and bounded from below and transition kernels that are continuous in controls under given states. The control spaces need not to be compact.