نتایج جستجو برای: stochastic calculus

تعداد نتایج: 185221  

Journal: :Bulletin of the American Mathematical Society 2007

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: :Sibirskie Elektronnye Matematicheskie Izvestiya 2020

Journal: :Stochastic Processes and their Applications 1985

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