Characterization of stochastic equilibrium controls by the Malliavin calculus
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 ma...
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Main Authors: | Nguwi, Jiang Yu, Privault, Nicolas |
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Other Authors: | School of Physical and Mathematical Sciences |
Format: | Article |
Language: | English |
Published: |
2022
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Subjects: | |
Online Access: | https://hdl.handle.net/10356/156893 |
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Institution: | Nanyang Technological University |
Language: | English |
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