Similar Search Results

On Time Inconsistent Stochastic Control in Continuous Time

Bjork, Tomas - 2017

equilibrium points. For a general controlled continuous time Markov process and a fairly general objective functional we derive an … determination for the equilibrium strategy as well as the equilibrium value function. The main theoretical result is a verification … study of time inconsistency within the framework of a general equilibrium production economy of Cox-Ingersoll-Ross type …

Persistent link: https://www.econbiz.de/10012966786

Optimal Debt and Equilibrium Exchange Rates in a Stochastic Environment : An Overview

Stein, Jerome L. - 2021

The focus is upon equilibrium real exchange rates, optimal external debt and their interaction, in a world where both … Signals. One is the NATREX model to estimate the equilibrium real exchange rate. The second is stochastic optimal control …

Persistent link: https://www.econbiz.de/10013318821

Time inconsistent stochastic control in continuous time : theory and examples

Björk, Tomas; Khapko, Mariana; Murgoci, Agatha - 2016

optimality principle. We study these problems within a game theoretic framework, and we look for Nash subgame perfect equilibrium … determination for the equilibrium strategy as well as the equilibrium value function. As applications of the general theory we study … equilibrium production economy of Cox-Ingersoll-Ross type …

Persistent link: https://www.econbiz.de/10011646331

Subgame-perfect equilibria in stochastic timing games

Riedel, Frank; Steg, Jan-Henrik - 2014

We introduce a notion of subgames for stochastic timing games and the related notion of subgame-perfect equilibrium in … possibly mixed strategies. While a good notion of subgame-perfect equilibrium for continuous-time games is not available in …

Persistent link: https://www.econbiz.de/10010406213

Inflationary Equilibrium in a Stochastic Economy with Independent Agents

Geanakoplos, John - 2009

interest rate is strictly positive, then typically there will not exist an equilibrium with a stationary wealth distribution … wealth and prices rise deterministically and at the same rate. Such an equilibrium does exist under appropriate bounds on the … stationary strategies of the agents select actions in the interior of their action sets in equilibrium, then the classical Fisher …

Persistent link: https://www.econbiz.de/10013158766

Minimal supersolutions of BSDEs with lower semicontinuous generations

Heyne, Gregor; Kupper, Michael; Mainberger, Christoph - 2011

We study the existence and uniqueness of minimal supersolutions of backward stochastic differential equations with generators that are jointly lower semicontinuous, bounded below by an affine function of the control variable and satisfy a specific normalization property.

Persistent link: https://www.econbiz.de/10010281563

When to cross the spread: Curve following with singular control

Naujokat, Felix; Horst, Ulrich - 2011

In this article the problem of curve following in an illiquid market is addressed. Using techniques of singular stochastic control, we extend the results of [NW11] to a twosided limit order market with temporary market impact and resilience, where the bid ask spread is now also controlled. We...

Persistent link: https://www.econbiz.de/10010281591

Maximum principle for stochastic control in continuous time with hard end constraints

Seierstad, Atle - 2002

A maximum principle is proved for certain problems of continuous time stochastic control with hard end constraints, (end constraints satis_ed a.s.) After establishing a general theorem, the results are applied to problems where the state equation (di_erential equation) changes at certain...

Persistent link: https://www.econbiz.de/10010284288

Financial markets with volatility uncertainty

Vorbrink, Jörg - 2010

We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brownian motion...

Persistent link: https://www.econbiz.de/10010285421

Forward-backward systems for expected utility maximization

Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, … - 2011

In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).

Persistent link: https://www.econbiz.de/10010286435