| Publication | Date of Publication | Type |
|---|
Exponential ergodicity and finite-dimensional approximation for Markovian lifts of stochastic Volterra equations
(available as arXiv preprint) | 2026-01-01 | Paper |
Global maximum principle for optimal control of stochastic Volterra equations with singular kernels: an infinite dimensional approach
Journal of Differential Equations | 2025-10-30 | Paper |
Weak well-posedness of stochastic Volterra equations with completely monotone kernels and nondegenerate noise
The Annals of Applied Probability | 2025-06-18 | Paper |
Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations
Stochastic Processes and their Applications | 2024-11-12 | Paper |
Linear-quadratic stochastic Volterra controls. I: Causal feedback strategies
Stochastic Processes and their Applications | 2024-10-08 | Paper |
Linear-quadratic stochastic Volterra controls. II: Optimal strategies and Riccati-Volterra equations
European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations | 2024-06-26 | Paper |
A generalized coupling approach for the weak approximation of stochastic functional differential equations
(available as arXiv preprint) | 2024-01-01 | Paper |
| Weak well-posedness of stochastic Volterra equations with completely monotone kernels and non-degenerate noise | 2023-10-24 | Paper |
Approximations for adapted M-solutions of type-II backward stochastic Volterra integral equations
ESAIM: Probability and Statistics | 2023-08-21 | Paper |
| Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations | 2023-04-13 | Paper |
On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay
Applied Mathematics and Optimization | 2023-04-03 | Paper |
Variation of constants formulae for forward and backward stochastic Volterra integral equations
Journal of Differential Equations | 2022-11-28 | Paper |
| Linear-quadratic stochastic Volterra controls II: Optimal strategies and Riccati--Volterra equations | 2022-04-21 | Paper |
| Linear-quadratic stochastic Volterra controls I: Causal feedback strategies | 2022-04-18 | Paper |
Infinite horizon backward stochastic Volterra integral equations and discounted control problems
ESAIM: Control, Optimisation and Calculus of Variations | 2021-12-13 | Paper |
Variation of constants formulae for forward and backward stochastic Volterra integral equations
(available as arXiv preprint) | 2021-12-02 | Paper |
Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
Mathematical Control and Related Fields | 2021-11-15 | Paper |
On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay
(available as arXiv preprint) | 2021-09-13 | Paper |
Small-time solvability of a flow of forward-backward stochastic differential equations
Applied Mathematics and Optimization | 2021-08-11 | Paper |
BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets
Japan Journal of Industrial and Applied Mathematics | 2021-08-04 | Paper |
Time-inconsistent consumption-investment problems in incomplete markets under general discount functions
SIAM Journal on Control and Optimization | 2021-06-22 | Paper |
