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

Publikation: Working paper/Preprint Working paper

Dokumenter

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  • Ole E. Barndorff-Nielsen, Danmark
  • Fred Espen Benth, University of Oslo, Norge
  • Benedykt Szozda, Danmark
This paper generalizes the integration theory for volatility modulated Brownian-driven Volterra processes onto the space 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.
OriginalsprogEngelsk
UdgiverT.N. Thiele Centre, Department of Mathematics, Aarhus University
Antal sider38
StatusUdgivet - 2013
SerietitelThiele Research Reports
Nummer03

Bibliografisk note

2013-03

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