On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis
Probability
2015-02-06 v1
Abstract
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.
Keywords
Cite
@article{arxiv.1303.4625,
title = {On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis},
author = {Ole E. Barndorff-Nielsen and Fred Espen Benth and Benedykt Szozda},
journal= {arXiv preprint arXiv:1303.4625},
year = {2015}
}
Comments
35 pages, extends the results of arXiv:1205.3275