On stochastic integration for volatility modulated Lévy-driven Volterra processes

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This paper develops a stochastic integration theory with respect to volatility modulated Lévy-driven Volterra (V MLV) processes. It extends recent results in the literature to allow for stochastic volatility and pure jump processes in the integrator. The new integration operator is based on Malliavin calculus and describes an anticipative integral. Fundamental properties of the integral are derived and important applications are given.

OriginalsprogEngelsk
TidsskriftStochastic Processes and Their Applications
Vol/bind124
Nummer1
Sider (fra-til)812-847
Antal sider36
ISSN0304-4149
DOI
StatusUdgivet - 2014

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