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arXiv · 1303.4625

On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis

Ole E. Barndorff-Nielsen·Fred Espen Benth·Benedykt Szozda
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Abstract

This paper generalizes the integration theory for volatility modulated Brownian-driven Volterra processes onto the space G* of Potthoff-Timpel distributions. Sufficient conditions for integrability of generalized processes are given, regularity results and properties of the integral are discussed. We introduce a new volatility modulation method through the Wick product and discuss its relation to the pointwise-multiplied volatility model.

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Ole E. Barndorff-Nielsen, Fred Espen Benth, Benedykt Szozda. 2013-03-19. On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis. https://doi.org/10.1142/s0219025714500118

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