On Utility Maximization under Multivariate Fake Stationary Affine Volterra Models.
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
I am a Research Scientist in Mathematics at LPSM Sorbonne Université, working on stochastic analysis, optimal control, diffusion models, and statistics, with applications to mathematical finance and machine learning.