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math.OC2020
A PDE approach for open-loop equilibriums in time-inconsistent stochastic optimal control problems
Ishak Alia
This paper studies open-loop equilibriums for a general class of time-inconsistent stochastic control problems under jump-diffusion SDEs with deterministic coefficients. Inspired b…
math.OC2020
On Stochastic Maximum Principle: A Backward Stochastic Partial Differential Equations Point of View
Ishak Alia, Mohamed Sofiane Alia
In this paper, we consider a class of stochastic control problems for stochastic differential equations with random coefficients. The control domain need not to be convex but the c…