condition resulting from partial observation of parameter of maximized functional. Stochastic Maximum Principle reduces the …

maximum principle. The resulting equilibriums are consistent with low values of the parameters of the utility functions when …. The state price is not Markov in any of the versions, so instead of using dynamic programming we use the stochastic …

Maximum Principle reduces the problem to finding a solution to a Forward Backward Stochastic Differential Equation (FBSDE). As … random terminal condition arising from the partial observation of a parameter of a maximized functional. The Stochastic …

parameters of the consumption process in an essential way. The paper also argues for a stochastic maximum principle. In addition …

parameters of the consumption process in an essential way. The paper also argues for a stochastic maximum principle. In addition …