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math.PR2019
Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels
Eduardo Abi Jaber
We provide existence, uniqueness and stability results for affine stochastic Volterra equations with -kernels and jumps. Such equations arise as scaling limits of branching pr…
math.OC2019
Integral operator Riccati equations arising in stochastic Volterra control problems
Eduardo Abi Jaber, Enzo Miller, Huyen Pham
We establish existence and uniqueness for infinite dimensional Riccati equations taking values in the Banach space L 1 ( ) for certain signed matrix measures wh…
math.OC2019
Linear--Quadratic control for a class of stochastic Volterra equations: solvability and approximation
Eduardo Abi Jaber, Enzo Miller, Huyên Pham
We provide an exhaustive treatment of Linear-Quadratic control problems for a class of stochastic Volterra equations of convolution type, whose kernels are Laplace transforms of ce…