4 papers
Exponential ergodicity and finite-dimensional approximation for Markovian lifts of stochastic Volterra equations
Yushi Hamaguchi
This paper investigates the long-time asymptotics and the existence of stationary solutions for a class of stochastic Volterra equations (SVEs). To address the non-Markovian nature…
Global maximum principle for optimal control of stochastic Volterra equations with singular kernels: An infinite dimensional approach
Yushi Hamaguchi
In this paper, we consider optimal control problems of stochastic Volterra equations (SVEs) with singular kernels, where the control domain is not necessarily convex. We establish…
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…
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…