The Annals of Applied Probability, Vol. 31, No. 5 (October 2021), pp. 2244-2274 (31 pages) We provide an exhaustive treatment of linear-quadratic control problems for a class of stochastic Volterra ...

Stochastic processes provide a rigorous framework for modelling systems that evolve over time under uncertainty, while extremal theory offers the tools for understanding the behaviour of rare, ...