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math.OC2022★ 7 cited
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…
math.OC2022★ 7 cited
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)…
math.OC2021★ 18 cited
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…