On stochastic integration for volatility modulated L\'{e}vy-driven Volterra processes
Probability
2012-05-16 v1
Abstract
This papers develops a stochastic integration theory with respect to volatility modulated L\'{e}vy-driven Volterra (VMLV) 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.
Keywords
Cite
@article{arxiv.1205.3275,
title = {On stochastic integration for volatility modulated L\'{e}vy-driven Volterra processes},
author = {Ole E. Barndorff-Nielsen and Fred Espen Benth and Jan Pedersen and Almut E. D. Veraart},
journal= {arXiv preprint arXiv:1205.3275},
year = {2012}
}