On stochastic integration for volatility modulated L 'evy-driven\n Volterra processes

2012/05/15 by Ole E. Barndorff–Nielsen, Fred Espen Benth, Barndorff-Nielsen, Ole E. +5
Economics, Econometrics and Finance · #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1205.3275

openalex publication_date 2012/05/15 · openalex created_date 2022/09/25 · openalex updated_date 2026/07/28

Abstract

This papers develops a stochastic integration theory with respect to\nvolatility modulated L 'evy-driven Volterra (VMLV) processes. It extends\nrecent results in the literature to allow for stochastic volatility and pure\njump processes in the integrator. The new integration operator is based on\nMalliavin calculus and describes an anticipative integral. Fundamental\nproperties of the integral are derived and important applications are given.\n

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