## On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis

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• Ole E. Barndorff-Nielsen
• Fred Espen Benth, Centre of Mathematics for Applications, University of Oslo, Norge
• Benedykt Szozda, Danmark

This paper generalizes the integration theory for volatility modulated Brownian-driven Volterra processes onto the space $\mathcal{G}^{*}$ of Potthoff-Timpel distributions. Sufficient conditions for integrability of generalized processes are given, regularity results and properties of the integral are discussed. We introduce a new volatility modulation method through the Wick product and discuss its relation to the pointwise-multiplied volatility model.

Originalsprog Engelsk 1450011 Infinite Dimensional Analysis, Quantum Probability and Related Topics 17 2 28 0219-0257 https://doi.org/10.1142/S0219025714500118 Udgivet - 2014

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