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.

TidsskriftInfinite Dimensional Analysis, Quantum Probability and Related Topics
Antal sider28
StatusUdgivet - 2014

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