Characterization of stochastic equilibrium controls by the Malliavin calculus
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Publication:5065038
DOI10.1142/S0219493721500544zbMath1492.60154OpenAlexW3180779950MaRDI QIDQ5065038
Jiang Yu Nguwi, Nicolas Privault
Publication date: 18 March 2022
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219493721500544
Malliavin calculusstochastic maximum principlebackward stochastic differential equationspike perturbation
Stochastic models in economics (91B70) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07)
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