5 papers
Linear-quadratic stochastic delayed control and deep learning resolution
William Lefebvre, Enzo Miller
We consider a class of stochastic control problems with a delayed control, both in drift and diffusion, of the type dX t = t--d (bdt + dW t). We provide a new characterizati…
Markowitz portfolio selection for multivariate affine and quadratic Volterra models
Eduardo Abi Jaber, Enzo Miller, Huyên Pham
This paper concerns portfolio selection with multiple assets under rough covariance matrix. We investigate the continuous-time Markowitz mean-variance problem for a multivariate cl…
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…
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…
Linear-Quadratic McKean-Vlasov Stochastic Differential Games
Enzo Miller, Huyen Pham
We consider a multi-player stochastic differential game with linear McKean-Vlasov dynamics and quadratic cost functional depending on the variance and mean of the state and control…