Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems.

This paper studies open-loop equilibriums for a general class of time-inconsistent stochastic control problems under jump-diffusion SDEs with deterministic coefficients. Inspired by the idea of Four-Step-Scheme for forward-backward stochastic differential equations with jumps (FBSDEJs, for short), we derive two systems of integro-partial differential equations (IPDEs, for short). Then, we rigorously prove a verification theorem which provides a sufficient condition for open-loop equilibrium strategies. As special cases, a mean-variance portfolio selection problem and a time-inconsistent problem under non-exponential discounting are discussed. [ABSTRACT FROM AUTHOR]