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arXiv · 2412.17526

State spaces of multifactor approximations of nonnegative Volterra processes

Eduardo Abi Jaber·Christian Bayer·Simon Breneis
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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.

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Eduardo Abi Jaber, Christian Bayer, Simon Breneis. 2024-12-23. State spaces of multifactor approximations of nonnegative Volterra processes. https://arxiv.org/abs/2412.17526

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