Department of Economics and Business Economics

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.

Original languageEnglish
JournalStochastic Processes and Their Applications
Volume124
Issue1
Pages (from-to)812-847
Number of pages36
ISSN0304-4149
DOIs
Publication statusPublished - 2014

    Research areas

  • Lévy semistationary processes, Malliavin calculus, Skorohod integral, Stochastic integration, Volatility modulated Volterra process

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