On Utility Maximization under Multivariate Fake Stationary Affine Volterra Models.
Type
Affine Volterra Processes
Stochastic Control
Martingale Optimality Principle
Backward Stochastic Differential Equations (BSDE)
Fractional Differential Equations
Riccati Equations
Functional Integral Equation
Authors
Emmanuel G.
(he/him)
Researcher in Mathematics and Applications
Hi, welcome to my website! I am a Research Scientist in Mathematics working on stochastic analysis, optimal control, diffusion models, and statistics, with applications to mathematical finance and machine learning.
Prior to this, I studied at École Polytechnique, where I earned an engineering degree with a major in mathematics. I also obtained a Master’s degree in Probability and Finance from IP Paris, jointly with Sorbonne Université, graduating with highest honors (mention Très Bien) and received a bachelor’s degree in Philosophy from Université Paris Nanterre.