Zobrazeno 1 - 10
of 48
pro vyhledávání: '"Hamaguchi, Yushi"'
Autor:
Hamaguchi, Yushi, Tse, Alex S. L.
We introduce an infinite-horizon, continuous-time portfolio selection problem faced by an agent with periodic S-shaped preference and present bias. The inclusion of a quasi-hyperbolic discount function leads to time-inconsistency and we characterize
Externí odkaz:
http://arxiv.org/abs/2410.18240
Autor:
Hamaguchi, Yushi
We establish weak existence and uniqueness in law for stochastic Volterra equations (SVEs for short) with completely monotone kernels and non-degenerate noise under mild regularity assumptions. In particular, our results reveal the regularization-by-
Externí odkaz:
http://arxiv.org/abs/2310.16030
Autor:
Hamaguchi, Yushi
We introduce a new framework of Markovian lifts of stochastic Volterra integral equations (SVIEs for short) with completely monotone kernels. We define the state space of the Markovian lift as a separable Hilbert space which incorporates the singular
Externí odkaz:
http://arxiv.org/abs/2304.06683
Autor:
Hamaguchi, Yushi
甲第22973号
理博第4650号
新制||理||1668(附属図書館)
学位規則第4条第1項該当
Doctor of Science
Kyoto University
DFAM
理博第4650号
新制||理||1668(附属図書館)
学位規則第4条第1項該当
Doctor of Science
Kyoto University
DFAM
Externí odkaz:
http://hdl.handle.net/2433/263434
Linear-quadratic stochastic Volterra controls II: Optimal strategies and Riccati--Volterra equations
Autor:
Hamaguchi, Yushi, Wang, Tianxiao
In this paper, we study linear-quadratic control problems for stochastic Volterra integral equations with singular and non-convolution-type coefficients. The weighting matrices in the cost functional are not assumed to be non-negative definite. From
Externí odkaz:
http://arxiv.org/abs/2204.10239
Autor:
Hamaguchi, Yushi, Wang, Tianxiao
In this paper, we formulate and investigate the notion of causal feedback strategies arising in linear-quadratic control problems for stochastic Volterra integral equations (SVIEs) with singular and non-convolution-type coefficients. We show that the
Externí odkaz:
http://arxiv.org/abs/2204.08333
Autor:
Hamaguchi, Yushi, Wang, Tianxiao
Publikováno v:
In Stochastic Processes and their Applications October 2024 176
Autor:
Hamaguchi, Yushi
Publikováno v:
Journal of Differential Equations 343 (2023) 332--389
In this paper, we provide variation of constants formulae for linear (forward) stochastic Volterra integral equations (SVIEs, for short) and linear Type-II backward stochastic Volterra integral equations (BSVIEs, for short) in the usual It\^{o}'s fra
Externí odkaz:
http://arxiv.org/abs/2112.01277
Autor:
Hamaguchi, Yushi
Publikováno v:
In Stochastic Processes and their Applications December 2024 178
Autor:
Hamaguchi, Yushi
Publikováno v:
Applied Mathematics & Optimization, 2023
In this paper, we prove both necessary and sufficient maximum principles for infinite horizon discounted control problems of stochastic Volterra integral equations with finite delay and a convex control domain. The corresponding adjoint equation is a
Externí odkaz:
http://arxiv.org/abs/2109.06092