Title of article
On stochastic integration for volatility modulated Lévy-driven Volterra processes
Author/Authors
Barndorff-Nielsen، نويسنده , , Ole E. and Benth، نويسنده , , Fred Espen and Pedersen، نويسنده , , Jan and Veraart، نويسنده , , Almut E.D.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2014
Pages
36
From page
812
To page
847
Abstract
This paper develops a stochastic integration theory with respect to volatility modulated Lévy-driven Volterra ( V MLV ) 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
Stochastic integration , Lévy semistationary processes , Skorohod integral , Malliavin Calculus , Volatility modulated Volterra process
Journal title
Stochastic Processes and their Applications
Serial Year
2014
Journal title
Stochastic Processes and their Applications
Record number
1579218
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