Backward Stochastic Differential Equations (BSDE)

On the mean-variance problem through the lens of multivariate fake stationary affine Volterra dynamics.

This paper investigates the asymptotic behavior of suitably time-modulated Hawkes processes with heavy-tailed kernels in a nearly unstable regime.

Emmanuel G.

• Apr 1, 2026 • 1 min read

Affine Volterra Processes

On Utility Maximization under Multivariate Fake Stationary Affine Volterra Models.

We tackle the problem of Utility Maximization under Multivariate Fake Stationary Affine Volterra Models via BSDEs and Martingale Optimality Principle: The resulting optimal …

Emmanuel G.

• Mar 10, 2026 • 1 min read

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Backward Stochastic Differential Equations (BSDE)

On the mean-variance problem through the lens of multivariate fake stationary affine Volterra dynamics.

On Utility Maximization under Multivariate Fake Stationary Affine Volterra Models.