نتایج جستجو برای: stochastic calculus
تعداد نتایج: 185221 فیلتر نتایج به سال:
Journal:
:Bulletin of the American Mathematical Society
2007
Journal:
:Bulletin des Sciences Mathématiques
2011
Journal:
:Stochastics and Dynamics
2021
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, extend...
Journal:
:Journal of Functional Analysis
2010
Journal:
:Sibirskie Elektronnye Matematicheskie Izvestiya
2020
Journal:
:Mathematics of Operations Research
1986
Journal:
:Fractal and Fractional
2020
Journal:
:Stochastic Processes and their Applications
1985
Journal:
:Nagoya Mathematical Journal
2015
Journal:
:The Annals of Probability
2013
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