Department of Economics and Business Economics

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, Norway
  • Benedykt Szozda, Denmark

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.

Original languageEnglish
Article number1450011
JournalInfinite Dimensional Analysis, Quantum Probability and Related Topics
Volume17
Issue2
Number of pages28
ISSN0219-0257
DOIs
Publication statusPublished - 2014

    Research areas

  • Malliavin derivative, Skorohod integral, Stochastic integral, Volatility modulation, Volterra process, White noise analysis

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