374 research outputs found
Linear-quadratic stochastic Volterra controls I: Causal feedback strategies
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 there exists a unique solution, which we call the causal feedback
solution, to the closed-loop system of a controlled SVIE associated with a
causal feedback strategy. Furthermore, introducing two novel equations named a
Type-II extended backward stochastic Volterra integral equation and a
Lyapunov--Volterra equation, we prove a duality principle and a representation
formula for a quadratic functional of controlled SVIEs in the framework of
causal feedback strategies.Comment: 29 page
Linear-quadratic stochastic Volterra controls II: Optimal strategies and Riccati--Volterra equations
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 a new viewpoint, we formulate a framework of
causal feedback strategies. The existence and the uniqueness of a causal
feedback optimal strategy are characterized by means of the corresponding
Riccati--Volterra equation.Comment: 35 page
The Implementation of Central Bank Policy in China: The Roles of Commercial Bank Ownership and CEO Faction Membership
We examine the roles of bank ownership and CEO political faction membership in facilitating or hindering the implementation of central bank policy in China. Specifically, we examine the response of China's commercial banks to People's Bank of China (PBC) guidelines intended to decrease mortgage lending and to slow down the rise in residential property prices. We find that both bank ownership and faction membership matter. Central government-owned banks whose CEOs are members of the specialist finance faction within the Chinese Communist Party (CCP) respond most strongly to PBC guidance, whereas provincial or city government-owned banks whose CEOs are members of a generalist faction respond least strongly. The implementation of PBC policy has real effects: in those cities where central government-owned banks with specialist CEOs constitute a larger percentage of total bank branches, house prices grew more slowly, as did the number of residential real estate transactions and the number of new listings. Where in contrast provincial and city government-owned banks with generalist CEOs dominate, the number of transactions grew faster; the rate of house price appreciation and the number of listings were however unaffected. We conclude that China's different levels of government and the CCP's different factions enjoy some discretion in responding to PBC guidance and that they exploit the discretion they are afforded to vary the strength of their response
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