Optimal strategies for Merton's problem are derived in semi-closed form for multivariate affine Volterra models with jumps via martingale optimality and a new Riccati BSDEJ.
On a stationarity theory for stochastic volterra integral equations
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Optimal Merton's Problem under Multivariate Affine Volterra Models with Jumps
Optimal strategies for Merton's problem are derived in semi-closed form for multivariate affine Volterra models with jumps via martingale optimality and a new Riccati BSDEJ.