activity
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

collaborators
Showing 2022Show all

2 papers · 1 filter

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)…