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math.OC2026
Optimal Merton's Problem under Multivariate Affine Volterra Models with Jumps
Sigui Brice Dro, Emmanuel Gnabeyeu
This paper is concerned with portfolio selection for an investor with exponential, power, and logarithmic utility in multi-asset financial markets allowing jumps. We investigate th…
math.OC2026
On explicit solutions to a class of quadratic BSDEJs driven by affine Volterra processes with jumps and applications
Sigui Brice Dro, Emmanuel Gnabeyeu
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…
math.OC2026
On Utility Maximization under Multivariate Fake Stationary Affine Volterra Models
Emmanuel Gnabeyeu
This paper is concerned with Merton's portfolio optimization problem in a Volterra stochastic environment described by a multivariate fake stationary Volterra--Heston model. Due to…