Optimal Merton's Problem under Multivariate Affine Volterra Models with Jumps.
Type
Affine Volterra Processes With Jumps
Optimal Control of Volterra Integral Jump Diffusions
Martingale Optimality Principle
Backward Stochastic Differential Equations With Jumps (BSDEJ)
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