Search Results - subject:"stochastic maximum principle"

A risk based approach to the principal-agent problem

Djehiche, Boualem; Helgesson, Peter - In: Asian journal of economics and banking : AJEB 8 (2024) 3, pp. 310-334

Purpose: We aim to generalize the continuous-time principal-agent problem to incorporate time-inconsistent utility functions, such as those of mean-variance type, which are prevalent in risk management and finance. Design/methodology/approach: We use recent advancements of the Pontryagin maximum...

Persistent link: https://www.econbiz.de/10015163486

Strong solutions to submodular mean field games with common noise and related McKean-Vlasov FBSDES

Dianetti, Jodi - 2023

-backward stochastic differential equations deriving from the stochastic maximum principle. We first propose some structural conditions … known Lasry-Lions monotonicity. By reformulating the representative player minimization problem via the stochastic maximum … principle, the submodularity conditions allow to prove comparison principles for the forward-backward system, which correspond …

Persistent link: https://www.econbiz.de/10014374389

Linear-quadratic-singular stochastic differential games and applications

Dianetti, Jodi - 2023

We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is quadratic in the state and linear in the control. We call...

Persistent link: https://www.econbiz.de/10014374580

Strong solutions to submodular mean field games with common noise and related McKean-Vlasov FBSDES

Dianetti, Jodi - 2023

Persistent link: https://www.econbiz.de/10013483724

Linear-quadratic-singular stochastic differential games and applications

Dianetti, Jodi - 2023

Persistent link: https://www.econbiz.de/10014277006

Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting

Wang, Yike; Liu, Jingzhen; Siu, Tak Kuen - In: Finance and stochastics 28 (2024) 1, pp. 161-214

Persistent link: https://www.econbiz.de/10014447662

Time-consistent investment and consumption strategies under a general discount function

Alia, Ishak; Chighoub, Farid; Khelfallah, Nabil; Vives, … - In: Journal of Risk and Financial Management 14 (2021) 2, pp. 1-27

In the present paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting, a context that gives rise to time-inconsistency of the decision-maker. We consider equilibrium policies within the class of open-loop controls that are characterized, in...

Persistent link: https://www.econbiz.de/10012611643

Time-consistent investment and consumption strategies under a general discount function

Alia, Ishak; Chighoub, Farid; Khelfallah, Nabil; Vives, … - In: Journal of risk and financial management : JRFM 14 (2021) 2/86, pp. 1-27

Persistent link: https://www.econbiz.de/10012484346

Optimization under rational expectations : a framework of fully coupled forward-backward stochastic linear quadratic systems

Hu, Mingshang; Ji, Shaolin; Xue, Xiaole - In: Mathematics of operations research 48 (2023) 3, pp. 1767-1790

Persistent link: https://www.econbiz.de/10014329362

A stochastic maximum principle for Markov chains of mean-field type

Choutri, Salah Eddine; Hamidou, Tembine - In: Games 9 (2018) 4, pp. 1-24

We derive sufficient and necessary optimality conditions in terms of a stochastic maximum principle (SMP) for controls …

Persistent link: https://www.econbiz.de/10012227727