Copertina

Linear-quadratic stochastic Volterra controls I: Causal feedback strategies

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Hamaguchi, Yushi, Wang, Tianxiao
Natura:	Preprint
Pubblicazione:	2022
Soggetti:	Optimization and Control Probability 60H20, 45A05, 93E20, 93B52
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Linear-quadratic stochastic Volterra controls II: Optimal strategies and Riccati--Volterra equations
di: Hamaguchi, Yushi, et al.
Pubblicazione: (2022)

Global maximum principle for optimal control of stochastic Volterra equations with singular kernels: An infinite dimensional approach
di: Hamaguchi, Yushi
Pubblicazione: (2025)

Markovian lifting and optimal control for integral stochastic Volterra equations with completely monotone kernels
di: Bonaccorsi, Stefano, et al.
Pubblicazione: (2024)

Existence of optimal controls for stochastic Volterra equations
di: Cárdenas, Andrés, et al.
Pubblicazione: (2022)

The randomization method in stochastic optimal control
di: Fuhrman, Marco
Pubblicazione: (2025)

McKean-Vlasov forward-backward doubly stochastic differential equations and applications to stochastic control
di: Al-Hussein, AbdulRahman, et al.
Pubblicazione: (2024)

Pontryagin Maximum Principle for rough stochastic systems and pathwise stochastic control
di: Horst, Ulrich, et al.
Pubblicazione: (2025)

Markov approximation for controlled Hawkes Jump-Diffusions with general kernels
di: Khabou, Mahmoud, et al.
Pubblicazione: (2025)

Optimality of a barrier strategy in a spectrally negative Lévy model with a level-dependent intensity of bankruptcy
di: Mata, Dante, et al.
Pubblicazione: (2024)

On symmetric fuzzy stochastic Volterra integral equations with retardation
di: Malinowski, Marek T.
Pubblicazione: (2024)

Single-Item Continuous-Review Inventory Models with Random Supplies
di: Helmes, K. L., et al.
Pubblicazione: (2024)

Mean-field games with rough common noise: the linear-quadratic case
di: Friz, Peter K., et al.
Pubblicazione: (2026)

2BSDE with uncertain horizon and application to stochastic control in erratic environments
di: Gennaro, Alberto, et al.
Pubblicazione: (2025)

A BSDE approach to the asymmetric risk-sensitive optimization and its applications
di: Hu, Mingshang, et al.
Pubblicazione: (2023)

The Schrödinger Bridge Problem for Jump Diffusions with Regime Switching
di: Zlotchevski, Andrei, et al.
Pubblicazione: (2025)

Maximum principle for discrete-time robust stochastic optimal control problem
di: He, Wei
Pubblicazione: (2025)

Maximum Principles for Partially Observed Controls of Forward SPDEs and Backward SDEs with Jumps
di: Qian, Hongjiang, et al.
Pubblicazione: (2026)

Utility maximization in multivariate Volterra models
di: Aichinger, Florian, et al.
Pubblicazione: (2021)

Transposition Approach to Optimal Control of McKean-Vlasov SPDEs
di: Chen, Liangying, et al.
Pubblicazione: (2026)

A local maximum principle for robust optimal control problems of quadratic BSDEs
di: Hao, Tao, et al.
Pubblicazione: (2024)

Stability and performance of stochastic economic MPC - Stochastic characterization of the closed-loop asymptotics
di: Schießl, Jonas, et al.
Pubblicazione: (2025)

Optimal control of Volterra integral diffusions and application to contract theory
di: Possamaï, Dylan, et al.
Pubblicazione: (2025)

Mild solutions of HJB equations associated with cylindrical stable Lévy noise in infinite dimensions
di: Bondi, Alessandro, et al.
Pubblicazione: (2025)

Singular stochastic control problems motivated by the optimal sustainable exploitation of an ecosystem
di: Liang, Gechun, et al.
Pubblicazione: (2020)

On approximations of stochastic optimal control problems with an application to climate equations
di: Flandoli, Franco, et al.
Pubblicazione: (2024)

A Class of Degenerate Mean Field Games, Associated FBSDEs and Master Equations
di: Bensoussan, Alain, et al.
Pubblicazione: (2024)

Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems
di: Mastrogiacomo, Elisa, et al.
Pubblicazione: (2023)

Mean-field control of non exchangeable systems
di: De Crescenzo, Anna, et al.
Pubblicazione: (2024)

Optimal control of Newtonian fluids in a stochastic environment
di: Chemetov, Nikolai, et al.
Pubblicazione: (2024)

An Optimal-Control Approach to Infinite-Horizon Restless Bandits: Achieving Asymptotic Optimality with Minimal Assumptions
di: YAN, Chen
Pubblicazione: (2024)

Partially observed controlled Markov chains and optimal control of the Wonham filter
di: Confortola, Fulvia, et al.
Pubblicazione: (2026)

Stochastic Singular Linear Systems and Related Linear-Quadratic Optimal Control Problems under Finite and Infinite Horizons
di: Li, Mengzhen, et al.
Pubblicazione: (2024)

Long-Term Average Impulse and Singular Control of a Growth Model with Two Revenue Sources
di: Helmes, K. L., et al.
Pubblicazione: (2026)

Robust pointwise second order necessary conditions for singular stochastic optimal control with model uncertainty
di: Jing, Guangdong
Pubblicazione: (2024)

A Regime-Switching Approach to the Unbalanced Schrödinger Bridge Problem
di: Zlotchevski, Andrei, et al.
Pubblicazione: (2025)

Path integral control under McKean-Vlasov dynamics
di: Bennett, Timothy
Pubblicazione: (2024)

Stability of long run functionals with respect to stationary Markov controls
di: Stettner, Lukasz
Pubblicazione: (2024)

Mind the jumps: when 2BSDEs meet semi-martingales
di: Possamaï, Dylan, et al.
Pubblicazione: (2025)

Reinforcement learning for irreversible reinsurance problems: the randomized singular control approach
di: Liang, Zongxia, et al.
Pubblicazione: (2025)

An overlapping information linear-quadratic Stackelberg stochastic differential game with two leaders and two followers
di: Si, Yu, et al.
Pubblicazione: (2024)