1 citations · 1 across the 1 of their papers we have counts for
3 papers
math.PR2021★ 1 cited
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…
math.PR2020
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,…
math.PR2019
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…