4 papers
Lifting of Volterra processes: optimal control in UMD Banach spaces
Giulia di Nunno, Michele Giordano
We study a stochastic control problem for a Volterra-type controlled forward equation with past dependence obtained via convolution with a deterministic kernel. To be able to apply…
Optimal control in linear stochastic advertising models with memory
Michele Giordano, Anton Yurchenko-Tytarenko
This paper deals with a class of optimal control problems which arises in advertising models with Volterra Ornstein-Uhlenbeck process representing the product goodwill. Such choice…
Maximum principles for stochastic time-changed Volterra games
Giulia Di Nunno, Michele Giordano
We study a stochastic differential game between two players, controlling a forward stochastic Volterra integral equation (FSVIE). Each player has to optimize his own performance fu…
Stochastic Volterra equations with time-changed Lévy noise and maximum principles
Giulia di Nunno, Michele Giordano
Motivated by a problem of optimal harvesting of natural resources, we study a control problem for Volterra type dynamics driven by time-changed Lévy noises, which are in general no…