Optimal Control of Volterra Integral Jump Diffusions

Affine Volterra Processes With Jumps

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 …

avatar
Emmanuel G.
•
Read more