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 2024Show all

2 papers · 1 filter

math.PR2024

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…

q-fin.PM2024

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…