Optimal Merton's Problem under Multivariate Affine Volterra Models with Jumps.
We tackle the problem of Utility Maximization under Multivariate Affine Volterra Models with Jumps via BSDEJs and Martingale Optimality Principle: The resulting optimal …
On explicit solutions to a class of quadratic BSDEJs driven by affine Volterra processes with jumps and applications.
In this paper we consider a class of quadratic BSDEs with jumps (quadratic BSDEJs) involving inhomogeneous affine Volterra processes and show that their solution can be reduced to …
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 …