2 papers
q-fin.MF2026
Equilibrium prices under hidden Markov fundamentals
Henri Pagès, Dylan Possamaï, Mateo Rodriguez Polo
We study a representative-agent Epstein-Zin economy with geometric dividends and a hidden finite-state Markov drift. We allow the price-dividend ratio to contain an additional posi…
math.OC2026
Here, there and everywhere: state-dependent time-inconsistent stochastic control
Dylan Possamaï, Mateo Rodriguez Polo
This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation,…