Characterization of stochastic equilibrium controls by the Malliavin calculus

• Main Authors: Nguwi, Jiang Yu, Privault, Nicolas
• 其他作者: School of Physical and Mathematical Sciences
• 格式: Article
• 語言: English
• 出版: 2022
• 主題: Science::Mathematics::Probability theory; Stochastic Maximum Principle; Spike Perturbation; Backward Stochastic Differential Equation; Malliavin Calculus
• 在線閱讀: https://hdl.handle.net/10356/156893
• 機構: Nanyang Technological University

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...