The value function for optimal control of non-convolution Volterra integral diffusions is characterized as the unique viscosity solution to a parabolic PDE on Sobolev space, with applications to time-inconsistent contract problems.
Optimal portfolio under fractional stochastic environment.Mathematical Finance, 29(3):697–734, 2019
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Optimal control of Volterra integral diffusions and application to contract theory
The value function for optimal control of non-convolution Volterra integral diffusions is characterized as the unique viscosity solution to a parabolic PDE on Sobolev space, with applications to time-inconsistent contract problems.