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20152026
most citedSimulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations

5 citations · 5 across the 5 of their papers we have counts for

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math.OC2026

Stochastic control with self-exciting processes

Heidar Eyjolfsson, Kristina Rognlien Dahl

We analyze the problem of stochastic optimal control of SDEs where the driver includes a self-exciting stochastic process. Due to the non-Markovian nature of the problem, we apply…