activity
20172023
most citedOn quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications

2 citations · 3 across the 5 of their papers we have counts for

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Showing 2020Show all

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math.PR2020

A unified approach to well-posedness of type-I backward stochastic Volterra integral equations

Camilo Hernández, Dylan Possamaï

We study a novel general class of multidimensional type-I backward stochastic Volterra integral equations. Toward this goal, we introduce an infinite dimensional system of standard…

math.OC2020

Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents

Camilo Hernández, Dylan Possamaï

We develop a theory for continuous-time non-Markovian stochastic control problems which are inherently time-inconsistent. Their distinguishing feature is that the classical Bellman…