Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case

Christa Cuchiero; Josef Teichmann

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arXiv · 1804.10450

Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case

Christa Cuchiero·Josef Teichmann

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Abstract

We consider stochastic (partial) differential equations appearing as Markovian lifts of affine Volterra processes with jumps from the point of view of the generalized Feller property which was introduced in e.g.~\cite{doetei:10}. In particular we provide new existence, uniqueness and approximation results for Markovian lifts of affine rough volatility models of general jump diffusion type. We demonstrate that in this Markovian light the theory of stochastic Volterra processes becomes almost classical.

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Christa Cuchiero, Josef Teichmann. 2018-04-27. Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case. https://arxiv.org/abs/1804.10450

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