Linear–quadratic stochastic Volterra controls I: Causal feedback strategies
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DOI: 10.1016/j.spa.2024.104449
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References listed on IDEAS
- Abi Jaber, Eduardo & El Euch, Omar, 2019. "Markovian structure of the Volterra Heston model," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 63-72.
- Bingyan Han & Hoi Ying Wong, 2019. "Time-inconsistency with rough volatility," Papers 1907.11378, arXiv.org, revised Dec 2021.
- Alòs, Elisa & Nualart, David, 1997. "Anticipating stochastic Volterra equations," Stochastic Processes and their Applications, Elsevier, vol. 72(1), pages 73-95, December.
- Eduardo Abi Jaber & Enzo Miller & Huyen Pham, 2021. "Integral Operator Riccati Equations Arising in Stochastic Volterra Control Problems," Post-Print hal-03264893, HAL.
- Nacira Agram & Bernt Øksendal, 2015. "Malliavin Calculus and Optimal Control of Stochastic Volterra Equations," Journal of Optimization Theory and Applications, Springer, vol. 167(3), pages 1070-1094, December.
- Eduardo Abi Jaber & Omar El Euch, 2019. "Markovian structure of the Volterra Heston model," Post-Print hal-01716696, HAL.
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Keywords
Linear–Quadratic control; Stochastic Volterra integral equation; Causal feedback strategy;All these keywords.
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