Cylindrical projections approximate infinite-dimensional occupation flows in occupied diffusions, achieving strong convergence with rates and enabling simulations for self-interacting diffusions and the LOV financial model.
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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.
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Cylindrical Projections of Occupied Diffusions
Cylindrical projections approximate infinite-dimensional occupation flows in occupied diffusions, achieving strong convergence with rates and enabling simulations for self-interacting diffusions and the LOV financial model.
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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.