Existence of optimal controls for stochastic Volterra equations
Fuente:
arXiv
Saved in:
| Main Authors: | Cárdenas, Andrés, Pulido, Sergio, Serrano, Rafael |
|---|---|
| Format: | Preprint |
| Published: |
2022
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Markovian lifting and optimal control for integral stochastic Volterra equations with completely monotone kernels
by: Bonaccorsi, Stefano, et al.
Published: (2024)
by: Bonaccorsi, Stefano, et al.
Published: (2024)
Utility maximization in multivariate Volterra models
by: Aichinger, Florian, et al.
Published: (2021)
by: Aichinger, Florian, et al.
Published: (2021)
2BSDE with uncertain horizon and application to stochastic control in erratic environments
by: Gennaro, Alberto, et al.
Published: (2025)
by: Gennaro, Alberto, et al.
Published: (2025)
The randomization method in stochastic optimal control
by: Fuhrman, Marco
Published: (2025)
by: Fuhrman, Marco
Published: (2025)
Linear-quadratic stochastic Volterra controls II: Optimal strategies and Riccati--Volterra equations
by: Hamaguchi, Yushi, et al.
Published: (2022)
by: Hamaguchi, Yushi, et al.
Published: (2022)
Robust Hedging of American Options via Aggregated Snell Envelopes
by: Rodrigues, Marco
Published: (2025)
by: Rodrigues, Marco
Published: (2025)
Recursive Optimal Stopping with Poisson Stopping Constraints
by: Liang, Gechun, et al.
Published: (2024)
by: Liang, Gechun, et al.
Published: (2024)
Pontryagin Maximum Principle for rough stochastic systems and pathwise stochastic control
by: Horst, Ulrich, et al.
Published: (2025)
by: Horst, Ulrich, et al.
Published: (2025)
On symmetric fuzzy stochastic Volterra integral equations with retardation
by: Malinowski, Marek T.
Published: (2024)
by: Malinowski, Marek T.
Published: (2024)
McKean-Vlasov forward-backward doubly stochastic differential equations and applications to stochastic control
by: Al-Hussein, AbdulRahman, et al.
Published: (2024)
by: Al-Hussein, AbdulRahman, et al.
Published: (2024)
A measure-valued HJB perspective on Bayesian optimal adaptive control
by: Cox, Alexander M. G., et al.
Published: (2025)
by: Cox, Alexander M. G., et al.
Published: (2025)
Utility maximization under endogenous pricing
by: Nguyen, Thai, et al.
Published: (2020)
by: Nguyen, Thai, et al.
Published: (2020)
Maximum principle for discrete-time robust stochastic optimal control problem
by: He, Wei
Published: (2025)
by: He, Wei
Published: (2025)
Linear-quadratic stochastic Volterra controls I: Causal feedback strategies
by: Hamaguchi, Yushi, et al.
Published: (2022)
by: Hamaguchi, Yushi, et al.
Published: (2022)
G-BSDEs with non-Lipschitz coefficients and the corresponding stochastic recursive optimal control problem
by: He, Wei, et al.
Published: (2025)
by: He, Wei, et al.
Published: (2025)
Global maximum principle for optimal control of stochastic Volterra equations with singular kernels: An infinite dimensional approach
by: Hamaguchi, Yushi
Published: (2025)
by: Hamaguchi, Yushi
Published: (2025)
Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts
by: Friesen, Martin, et al.
Published: (2024)
by: Friesen, Martin, et al.
Published: (2024)
Mind the jumps: when 2BSDEs meet semi-martingales
by: Possamaï, Dylan, et al.
Published: (2025)
by: Possamaï, Dylan, et al.
Published: (2025)
Kolmogorov equations for stochastic Volterra processes with singular kernels
by: Gasteratos, Ioannis, et al.
Published: (2025)
by: Gasteratos, Ioannis, et al.
Published: (2025)
Optimal Merton's Problem under Multivariate Affine Volterra Models with Jumps
by: Dro, Sigui Brice, et al.
Published: (2026)
by: Dro, Sigui Brice, et al.
Published: (2026)
Robust pointwise second order necessary conditions for singular stochastic optimal control with model uncertainty
by: Jing, Guangdong
Published: (2024)
by: Jing, Guangdong
Published: (2024)
On the mean-variance problem through the lens of multivariate fake stationary affine Volterra dynamics
by: Gnabeyeu, Emmanuel
Published: (2026)
by: Gnabeyeu, Emmanuel
Published: (2026)
Long-Term Average Impulse and Singular Control of a Growth Model with Two Revenue Sources
by: Helmes, K. L., et al.
Published: (2026)
by: Helmes, K. L., et al.
Published: (2026)
A Class of Degenerate Mean Field Games, Associated FBSDEs and Master Equations
by: Bensoussan, Alain, et al.
Published: (2024)
by: Bensoussan, Alain, et al.
Published: (2024)
Mild solutions of HJB equations associated with cylindrical stable Lévy noise in infinite dimensions
by: Bondi, Alessandro, et al.
Published: (2025)
by: Bondi, Alessandro, et al.
Published: (2025)
Markov approximation for controlled Hawkes Jump-Diffusions with general kernels
by: Khabou, Mahmoud, et al.
Published: (2025)
by: Khabou, Mahmoud, et al.
Published: (2025)
On approximations of stochastic optimal control problems with an application to climate equations
by: Flandoli, Franco, et al.
Published: (2024)
by: Flandoli, Franco, et al.
Published: (2024)
Transposition Approach to Optimal Control of McKean-Vlasov SPDEs
by: Chen, Liangying, et al.
Published: (2026)
by: Chen, Liangying, et al.
Published: (2026)
On Bellman equation in the limit order optimization problem for high-frequency trading
by: Balakaeva, M. I., et al.
Published: (2025)
by: Balakaeva, M. I., et al.
Published: (2025)
Singular stochastic control problems motivated by the optimal sustainable exploitation of an ecosystem
by: Liang, Gechun, et al.
Published: (2020)
by: Liang, Gechun, et al.
Published: (2020)
Infinite-Horizon Optimal Control of Jump-Diffusion Models for Pollution-Dependent Disasters
by: Sakhanda, Daria, et al.
Published: (2025)
by: Sakhanda, Daria, et al.
Published: (2025)
Partially observed controlled Markov chains and optimal control of the Wonham filter
by: Confortola, Fulvia, et al.
Published: (2026)
by: Confortola, Fulvia, et al.
Published: (2026)
Optimal Dividend Control with Transaction Costs under Exponential Parisian Ruin for a Refracted Levy Risk Model
by: Gao, Zhongqin, et al.
Published: (2025)
by: Gao, Zhongqin, et al.
Published: (2025)
Stochastic maximum principle for optimal control of infinitely delayed systems of functional type in infinite dimensions
by: Cheng, Guanwei
Published: (2026)
by: Cheng, Guanwei
Published: (2026)
Large deviations of slow-fast systems driven by fractional Brownian motion
by: Gailus, Siragan, et al.
Published: (2022)
by: Gailus, Siragan, et al.
Published: (2022)
Maximum Principles for Partially Observed Controls of Forward SPDEs and Backward SDEs with Jumps
by: Qian, Hongjiang, et al.
Published: (2026)
by: Qian, Hongjiang, et al.
Published: (2026)
The American put with finite-time maturity and stochastic interest rate
by: Cai, Cheng, et al.
Published: (2021)
by: Cai, Cheng, et al.
Published: (2021)
A local maximum principle for robust optimal control problems of quadratic BSDEs
by: Hao, Tao, et al.
Published: (2024)
by: Hao, Tao, et al.
Published: (2024)
A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints
by: Fu, Guanxing, et al.
Published: (2024)
by: Fu, Guanxing, et al.
Published: (2024)
Failure of the Markov property for stochastic Volterra equations
by: Friesen, Martin, et al.
Published: (2025)
by: Friesen, Martin, et al.
Published: (2025)
Similar Items
-
Markovian lifting and optimal control for integral stochastic Volterra equations with completely monotone kernels
by: Bonaccorsi, Stefano, et al.
Published: (2024) -
Utility maximization in multivariate Volterra models
by: Aichinger, Florian, et al.
Published: (2021) -
2BSDE with uncertain horizon and application to stochastic control in erratic environments
by: Gennaro, Alberto, et al.
Published: (2025) -
The randomization method in stochastic optimal control
by: Fuhrman, Marco
Published: (2025) -
Linear-quadratic stochastic Volterra controls II: Optimal strategies and Riccati--Volterra equations
by: Hamaguchi, Yushi, et al.
Published: (2022)