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
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.
Authors