Back to Search
Start Over
Characterization of stochastic equilibrium controls by the Malliavin calculus.
- Source :
-
Stochastics & Dynamics . Jan2022, Vol. 22 Issue 1, p1-32. 32p. - Publication Year :
- 2022
-
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]
- Subjects :
- *MALLIAVIN calculus
*THERMODYNAMIC control
*STOCHASTIC differential equations
Subjects
Details
- Language :
- English
- ISSN :
- 02194937
- Volume :
- 22
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Stochastics & Dynamics
- Publication Type :
- Academic Journal
- Accession number :
- 155235143
- Full Text :
- https://doi.org/10.1142/S0219493721500544