Functional Integral Equation

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 …

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Emmanuel G.
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Affine Volterra Processes

On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model

This paper presents a new theory for the stationarity of stochastic Volterra integral equations.

emmanuel-gnabeyeu
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