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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
PublisherT.N. Thiele Centre, Department of Mathematics, Aarhus University
Number of pages38
Publication statusPublished - 2013
SeriesThiele Research Reports

    Research areas

  • stochastic integral, Volterra process, volatility modulation, white noise analysis, Malliavin derivative, Skorohod integral

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