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On stochastic integration for volatility modulated Lévy-driven Volterra processes

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On stochastic integration for volatility modulated Lévy-driven Volterra processes. / Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Pedersen, Jan; Veraart, Almut E D.

I: Stochastic Processes and Their Applications, Bind 124, Nr. 1, 2014, s. 812-847.

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

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Barndorff-Nielsen, Ole E. ; Benth, Fred Espen ; Pedersen, Jan ; Veraart, Almut E D. / On stochastic integration for volatility modulated Lévy-driven Volterra processes. I: Stochastic Processes and Their Applications. 2014 ; Bind 124, Nr. 1. s. 812-847.

Bibtex

@article{3ed0a86fefe946dca86cd07d1f510495,
title = "On stochastic integration for volatility modulated L{\'e}vy-driven Volterra processes",
abstract = "This paper develops a stochastic integration theory with respect to volatility modulated L{\'e}vy-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.",
keywords = "L{\'e}vy semistationary processes, Malliavin calculus, Skorohod integral, Stochastic integration, Volatility modulated Volterra process",
author = "Barndorff-Nielsen, {Ole E.} and Benth, {Fred Espen} and Jan Pedersen and Veraart, {Almut E D}",
year = "2014",
doi = "10.1016/j.spa.2013.09.007",
language = "English",
volume = "124",
pages = "812--847",
journal = "Stochastic Processes and Their Applications",
issn = "0304-4149",
publisher = "Elsevier BV * North-Holland",
number = "1",

}

RIS

TY - JOUR

T1 - On stochastic integration for volatility modulated Lévy-driven Volterra processes

AU - Barndorff-Nielsen, Ole E.

AU - Benth, Fred Espen

AU - Pedersen, Jan

AU - Veraart, Almut E D

PY - 2014

Y1 - 2014

N2 - 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.

AB - 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.

KW - Lévy semistationary processes

KW - Malliavin calculus

KW - Skorohod integral

KW - Stochastic integration

KW - Volatility modulated Volterra process

U2 - 10.1016/j.spa.2013.09.007

DO - 10.1016/j.spa.2013.09.007

M3 - Journal article

AN - SCOPUS:84886025807

VL - 124

SP - 812

EP - 847

JO - Stochastic Processes and Their Applications

JF - Stochastic Processes and Their Applications

SN - 0304-4149

IS - 1

ER -