State spaces of multifactor approximations of nonnegative Volterra processes
Probability
2024-12-24 v1 Mathematical Finance
Abstract
We show that the state spaces of multifactor Markovian processes, coming from approximations of nonnegative Volterra processes, are given by explicit linear transformation of the nonnegative orthant. We demonstrate the usefulness of this result for applications, including simulation schemes and PDE methods for nonnegative Volterra processes.
Keywords
Cite
@article{arxiv.2412.17526,
title = {State spaces of multifactor approximations of nonnegative Volterra processes},
author = {Eduardo Abi Jaber and Christian Bayer and Simon Breneis},
journal= {arXiv preprint arXiv:2412.17526},
year = {2024}
}