28 citations · 101 across the 16 of their papers we have counts for
16 papers
Exponential ergodicity and finite-dimensional approximation for Markovian lifts of stochastic Volterra equations
Yushi Hamaguchi
This paper investigates the long-time asymptotics and the existence of stationary solutions for a class of stochastic Volterra equations (SVEs). To address the non-Markovian nature…
Global maximum principle for optimal control of stochastic Volterra equations with singular kernels: An infinite dimensional approach
Yushi Hamaguchi
In this paper, we consider optimal control problems of stochastic Volterra equations (SVEs) with singular kernels, where the control domain is not necessarily convex. We establish…
A generalized coupling approach for the weak approximation of stochastic functional differential equations
Yushi Hamaguchi, Dai Taguchi
In this paper, we study functional type weak approximation of weak solutions of stochastic functional differential equations by means of the Euler--Maruyama scheme. Under mild assu…
Periodic portfolio selection with quasi-hyperbolic discounting
Yushi Hamaguchi, Alex S. L. Tse
We introduce an infinite-horizon, continuous-time portfolio selection problem faced by an agent with periodic S-shaped preference and present bias. The inclusion of a quasi-hyperbo…
Weak well-posedness of stochastic Volterra equations with completely monotone kernels and non-degenerate noise
Yushi Hamaguchi
We establish weak existence and uniqueness in law for stochastic Volterra equations (SVEs for short) with completely monotone kernels and non-degenerate noise under mild regularity…
Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations
Yushi Hamaguchi
We introduce a new framework of Markovian lifts of stochastic Volterra integral equations (SVIEs for short) with completely monotone kernels. We define the state space of the Marko…
Linear-quadratic stochastic Volterra controls II: Optimal strategies and Riccati--Volterra equations
Yushi Hamaguchi, Tianxiao Wang
In this paper, we study linear-quadratic control problems for stochastic Volterra integral equations with singular and non-convolution-type coefficients. The weighting matrices in…
Linear-quadratic stochastic Volterra controls I: Causal feedback strategies
Yushi Hamaguchi, Tianxiao Wang
In this paper, we formulate and investigate the notion of causal feedback strategies arising in linear-quadratic control problems for stochastic Volterra integral equations (SVIEs)…
Variation of constants formulae for forward and backward stochastic Volterra integral equations
Yushi Hamaguchi
In this paper, we provide variation of constants formulae for linear (forward) stochastic Volterra integral equations (SVIEs, for short) and linear Type-II backward stochastic Volt…
On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay
Yushi Hamaguchi
In this paper, we prove both necessary and sufficient maximum principles for infinite horizon discounted control problems of stochastic Volterra integral equations with finite dela…
Infinite horizon backward stochastic Volterra integral equations and discounted control problems
Yushi Hamaguchi
Infinite horizon backward stochastic Volterra integral equations (BSVIEs for short) are investigated. We prove the existence and uniqueness of the adapted M-solution in a weighted…
Approximations for adapted M-solutions of Type-II backward stochastic Volterra integral equations
Yushi Hamaguchi, Dai Taguchi
In this paper, we study a class of Type-II backward stochastic Volterra integral equations (BSVIEs). For the adapted M-solutions, we obtain two approximation results, namely, a BSD…
Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
Yushi Hamaguchi
In this paper, we study extended backward stochastic Volterra integral equations (EBSVIEs, for short). We establish the well-posedness under weaker assumptions than the literature,…
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…
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…
BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets
Yushi Hamaguchi
We consider Lipschitz-type backward stochastic differential equations (BSDEs) driven by cylindrical martingales on the space of continuous functions. We show the existence and uniq…