Utility Maximization in Multivariate Volterra Models

DOI10.1137/21M1464543MaRDI QIDQ5886358

Florian Aichinger, Sascha Desmettre

Publication date: 31 March 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.02191

zbMATH Keywords

stochastic controlutility maximizationnon-Markovianrough volatilityRiccati-Volterra equationsVolterra-Wishart model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Optimal stochastic control (93E20) Stochastic integral equations (60H20) Portfolio theory (91G10)

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