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math.PR2025
Optimal control of Volterra integral diffusions and application to contract theory
Dylan Possamaï, Mehdi Talbi
This paper focuses on the optimal control of a class of stochastic Volterra integral equations. Here the coefficients are regular and not assumed to be of convolution type. We show…
math.PR2025
Itô-Wentzell formulas for semimartingale conditional laws with applications to mean-field control
Nizar Touzi, Mehdi Talbi
The present paper is an extension of Fadle-Touzi (2024). Following the same methodology, merely based on Taylor expansions, we establish the Itô and Itô-Wentzell formulae for flows…
math.PR2025
Markov approximation for controlled Hawkes Jump-Diffusions with general kernels
Mahmoud Khabou, Mehdi Talbi
We present a Markov approximation for jump-diffusions whose jump part consists in a Hawkes process with intensity driven by a general (possibly non-monotone) kernel. Under minimal…