On explicit solutions to a class of quadratic BSDEJs driven by affine Volterra processes with jumps and applications.
Type
Backward Stochastic Differential Equations With Jumps (BSDEJ)
Affine Volterra Processes With Jumps
Riccati-Volterra Equations
Stochastic Optimal Control of Volterra Integral Jump Diffusions
Martingale Optimality Principle
Fractional Riccati Equations
Lévy Processes
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.
Authors