activity
20182026
most citedExtended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems

28 citations · 101 across the 16 of their papers we have counts for

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Showing 2019Show all

2 papers · 1 filter

math.PR2019★ 11 cited

Time-inconsistent consumption-investment problems in incomplete markets under general discount functions

Yushi Hamaguchi

In this paper, we study a time-inconsistent consumption-investment problem with random endowments in a possibly incomplete market under general discount functions. We provide a nec…

math.PR2019★ 12 cited

Small-time solvability of a flow of forward-backward stochastic differential equations

Yushi Hamaguchi

Motivated from time-inconsistent stochastic control problems, we introduce a new type of coupled forward-backward stochastic systems, namely, flows of forward-backward stochastic d…