Stochastic Integration with respect to Volterra processes
Probability
2007-05-23 v1
Abstract
We construct the basis of a stochastic calculus for so-called Volterra processes, i.e., processes which are defined as the stochastic integral of a time-dependent kernel with respect to a standard Brownian motion. For these processes which are natural generalization of fractional Brownian motion, we construct a stochastic integral and show some of its main properties: regularity with respect to time and kernel, transformation under an absolutely continuous change of probability, possible approximation schemes and Ito formula.
Cite
@article{arxiv.math/0302047,
title = {Stochastic Integration with respect to Volterra processes},
author = {L. Decreusefond},
journal= {arXiv preprint arXiv:math/0302047},
year = {2007}
}