On the mean-variance problem through the lens of multivariate fake stationary affine Volterra dynamics.
Type
Affine Volterra Processes
Stochastic Control
Stochastic Operations Research
Backward Stochastic Differential Equations (BSDE)
Riccati Equations
Functional Integral Equation
Fractional Differential Equations
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.