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20182026
most citedExtended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems

28 citations · 101 across the 16 of their papers we have counts for

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Showing 2023 · math.PRShow all

2 papers · 2 filters

math.PR2023★ 2 cited

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…

math.PR2023★ 7 cited

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…