State spaces of multifactor approximations of nonnegative Volterra processes

2024/12/23 by Jaber, Eduardo Abi, Bayer, Christian, Breneis, Simon · 2 citations
#60H20 #91-08 #91-10 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)

paper · doi:10.48550/arxiv.2412.17526

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.

Cited by

• Weak solutions of Stochastic Volterra Equations in convex domains with general kernels
• Rough Bergomi turns grey

Related

• Markovian lifts of positive semidefinite affine Volterra type processes
• Constructing Strong Markov Processes
• Polynomial Volterra processes
• Infinite Dimensional Pathwise Volterra Processes Driven by Gaussian Noise -- Probabilistic Properties and Applications
• Irreducibility of nonsmooth state-space models with an application to CMA-ES