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

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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.
Original languageEnglish
PublisherarXiv.org
Number of pages35
Publication statusPublished - 19 Mar 2013

    Research areas

  • math.PR, 60H05, 60H40, 60H07, 60G22

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