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dc.contributor.author
Hernández, Camilo
dc.contributor.author
Possamaï, Dylan
dc.date.accessioned
2021-08-04T12:14:40Z
dc.date.available
2021-08-01T19:50:35Z
dc.date.available
2021-08-04T12:13:42Z
dc.date.available
2021-08-04T12:14:40Z
dc.date.issued
2021
dc.identifier.issn
1083-6489
dc.identifier.other
10.1214/21-EJP653
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/498813
dc.identifier.doi
10.3929/ethz-b-000498813
dc.description.abstract
We study a novel general class of multidimensional type-I backward stochastic Volterra integral equations. Toward this goal, we introduce an infinite family of standard backward SDEs and establish its well-posedness, and we show that it is equivalent to that of a type-I backward stochastic Volterra integral equation. We also establish a representation formula in terms of non-linear semi-linear partial differential equation of Hamilton-Jacobi-Bellman type. As an application, we consider the study of time-inconsistent stochastic control from a game-theoretic point of view. We show the equivalence of two current approaches to this problem from both a probabilistic and an analytic point of view.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
University of Washington
en_US
dc.rights.uri
http://creativecommons.org/licenses/by/4.0/
dc.subject
Backward stochastic Volterra integral equations
en_US
dc.subject
consistent planning
en_US
dc.subject
equilibrium Hamilton–Jacobi–Bellman equation
en_US
dc.subject
representation of partial differential equations
en_US
dc.subject
Time inconsistency
en_US
dc.title
A unified approach to well-posedness of type-I backward stochastic Volterra integral equations
en_US
dc.type
Journal Article
dc.rights.license
Creative Commons Attribution 4.0 International
ethz.journal.title
Electronic Journal of Probability
ethz.journal.volume
26
en_US
ethz.journal.abbreviated
Electron. J. Probab.
ethz.pages.start
26
en_US
ethz.size
35 p.
en_US
ethz.version.deposit
publishedVersion
en_US
ethz.identifier.wos
ethz.identifier.scopus
ethz.publication.place
Seattle, WA
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::09728 - Possamaï, Dylan / Possamaï, Dylan
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::09728 - Possamaï, Dylan / Possamaï, Dylan
ethz.date.deposited
2021-08-01T19:51:38Z
ethz.source
WOS
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2021-08-04T12:13:48Z
ethz.rosetta.lastUpdated
2022-03-29T10:55:39Z
ethz.rosetta.versionExported
true
ethz.COinS
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