Characterization of stochastic equilibrium controls by the Malliavin calculus
نویسندگان
چکیده
We derive a characterization of equilibrium controls in continuous-time, time-inconsistent control (TIC) problems using the Malliavin calculus. For this, classical duality analysis adjoint BSDEs is replaced with integration by parts. This results into necessary and sufficient maximum principle which applied to linear-quadratic TIC problem, recovering previous obtained mean-variance case, extending them setting. also show that our apply beyond case treating generalized Merton problem.
منابع مشابه
A stochastic maximum principle via Malliavin calculus
This paper considers a controlled Itô-Lévy process the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed to be random, possibly nonMarkovian. Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explic...
متن کاملMalliavin Greeks without Malliavin Calculus
We derive and analyze Monte Carlo estimators of price sensitivities (“Greeks”) for contingent claims priced in a diffusion model. There have traditionally been two categories of methods for estimating sensitivities: methods that differentiate paths and methods that differentiate densities. A more recent line of work derives estimators through Malliavin calculus. The purpose of this article is t...
متن کاملMalliavin Calculus for the Stochastic 2d Navier Stokes Equation
Abstract. We consider the incompressible, two dimensional Navier Stokes equation with periodic boundary conditions under the effect of an additive, white in time, stochastic forcing. Under mild restrictions on the geometry of the scales forced, we show that any finite dimensional projection of the solution possesses a smooth density with respect to Lebesgue measure. We also show that under natu...
متن کاملThe Malliavin Calculus
Acknowledgements I enjoyed the help and support from numerous friends and faculty members during whilst writing this thesis. My greatest debt however, goes to my supervisor, Professor Tony Dooley, who initiated me to the fantastic field of Malliavin calculus. With his incredible breadth and depth of knowledge and intuition, he guided me to structure and clarify my thought and suggested valuable...
متن کاملApplication of Malliavin calculus to stochastic partial differential equations
The Malliavin calculus is an infinite dimensional calculus on a Gaussian space, which is mainly applied to establish the regularity of the law of nonlinear functionals of the underlying Gaussian process. Suppose that H is a real separable Hilbert space with scalar product denoted by 〈·, ·〉H . The norm of an element h ∈ H will be denoted by ‖h‖H . Consider a Gaussian family of random variables W...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastics and Dynamics
سال: 2021
ISSN: ['0219-4937', '1793-6799']
DOI: https://doi.org/10.1142/s0219493721500544