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Title: Characterization of stochastic equilibrium controls by the Malliavin calculus
Authors: Nguwi, Jiang Yu
Privault, Nicolas
Keywords: Science::Mathematics::Probability theory
Issue Date: 2022
Source: Nguwi, J. Y. & Privault, N. (2022). Characterization of stochastic equilibrium controls by the Malliavin calculus. Stochastics and Dynamics, 22(1), 2150054-.
Project: MOE2018-T1-001-201 RG25/18
Journal: Stochastics and Dynamics
Abstract: We derive a characterization of equilibrium controls in continuous-time, time-inconsistent control (TIC) problems using the Malliavin calculus. For this, the classical duality analysis of adjoint BSDEs is replaced with the Malliavin integration by parts. This results into a necessary and sufficient maximum principle which is applied to a linear-quadratic TIC problem, recovering previous results obtained by duality analysis in the mean-variance case, and extending them to the linear-quadratic setting. We also show that our results apply beyond the linear-quadratic case by treating the generalized Merton problem.
ISSN: 0219-4937
DOI: 10.1142/S021949372021500543
Schools: School of Physical and Mathematical Sciences 
Rights: Electronic version of an article published as Stochastics and Dynamics, 22(1), 2022, 2150054, @ copyright World Scientific Publishing Company (
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:SPMS Journal Articles

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