×
Well done. You've clicked the tower. This would actually achieve something if you had logged in first. Use the key for that. The name takes you home. This is where all the applicables sit. And you can't apply any changes to my site unless you are logged in.

Our policy is best summarized as "we don't care about _you_, we care about _them_", no emails, so no forgetting your password. You have no rights. It's like you don't even exist. If you publish material, I reserve the right to remove it, or use it myself.

Don't impersonate. Don't name someone involuntarily. You can lose everything if you cross the line, and no, I won't cancel your automatic payments first, so you'll have to do it the hard way. See how serious this sounds? That's how serious you're meant to take these.

×
Register


Required. 150 characters or fewer. Letters, digits and @/./+/-/_ only.
  • Your password can’t be too similar to your other personal information.
  • Your password must contain at least 8 characters.
  • Your password can’t be a commonly used password.
  • Your password can’t be entirely numeric.
Enter the same password as before, for verification.
Login

Grow A Dic
Define A Word
Make Space
Set Task
Mark Post
Apply Votestyle
Create Votes
(From: saved spaces)
Exclude Votes
Apply Dic
Exclude Dic

Equilibrium strategies in time-inconsistent stochastic control problems with constraints: necessary conditions. (arXiv:2105.01473v2 [math.OC] UPDATED)

Click here to flash read.

We study time inconsistent recursive stochastic control problems with
constraint, where the notion of optimality is defined by means of subgame
perfect equilibrium. The foundation of our work consists in the stochastic
(Pontryagin) maximum principle which, in a context devoid of any constraints,
provides a characterisation of equilibrium strategies in terms of a generalised
second order Hamiltonian function defined through a pair of backward stochastic
differential equations. The class of constraints we analyse is therefore
defined through a further recursive utility system and a description of Nash
equilibria in this situation is obtained by adapting the Ekeland variational
principle. All this finds application in the financial field of finite horizon
investment-consumption policies with non-exponential actualisation, where the
possibility that the constraint is a risk constraint is covered.

Click here to read this post out
ID: 527191; Unique Viewers: 0
Unique Voters: 0
Total Votes: 0
Votes:
Latest Change: Nov. 6, 2023, 7:32 a.m. Changes:
/u/anonymous
Dictionaries:
Words:
Spaces:
Views: 11
CC:
No creative common's license
Comments: