1. Characterization of stochastic equilibrium controls by the Malliavin calculus.
- Author
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Nguwi, Jiang Yu and Privault, Nicolas
- Subjects
- *
MALLIAVIN calculus , *THERMODYNAMIC control , *STOCHASTIC differential equations - Abstract
We derive a characterization of equilibrium controls in continuous-time, time-inconsistent control (TIC) problems using the Malliavin calculus. For this, the classical duality analysis of adjoint BSDEs is replaced with the Malliavin integration by parts. This results into a necessary and sufficient maximum principle which is applied to a linear-quadratic TIC problem, recovering previous results obtained by duality analysis in the mean-variance case, and extending them to the linear-quadratic setting. We also show that our results apply beyond the linear-quadratic case by treating the generalized Merton problem. [ABSTRACT FROM AUTHOR]
- Published
- 2022
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