On explicit solutions to a class of quadratic BSDEJs driven by affine Volterra processes with jumps and applications

By Sigui Brice Dro, Emmanuel Gnabeyeu

Published 2026-09-02

Everscope rating

1862.6

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Reduction of Quadratic BSDEJs to Riccati-Volterra ODEs with Lévy Jump Compensators. Problem types: Portfolio Optimization, Optimization, Risk Management.

arXiv:2604.01300 · Paper rankings

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