التفاصيل البيبلوغرافية
| العنوان: |
Affine Volterra processes |
| المؤلفون: |
Abi Jaber, Eduardo, Larsson, Martin, Pulido, Sergio |
| سنة النشر: |
2019 |
| المجموعة: |
Base Institutionnelle de Recherche de l'université Paris-Dauphine (BIRD) |
| مصطلحات موضوعية: |
stochastic Volterra equations, Riccati-Volterra equations, rough volatility, affine processes, Probabilités et mathématiques appliquées |
| الوقت: |
519 |
| الوصف: |
We introduce affine Volterra processes, defined as solutions of certain stochastic convolution equations with affine coefficients. Classical affine diffusions constitute a special case, but affine Volterra processes are neither semimartingales, nor Markov processes in general. We provide explicit exponential-affine representations of the Fourier–Laplace functional in terms of the solution of an associated system of deterministic integral equations of convolution type, extending well-known formulas for classical affine diffusions. For specific state spaces, we prove existence, uniqueness, and invariance properties of solutions of the corresponding stochastic convolution equations. Our arguments avoid infinite-dimensional stochastic analysis as well as stochastic integration with respect to non-semimartingales, relying instead on tools from the theory of finite-dimensional deterministic convolution equations. Our findings generalize and clarify recent results in the literature on rough volatility models in finance. ; non ; non ; recherche ; International |
| نوع الوثيقة: |
article in journal/newspaper |
| وصف الملف: |
application/pdf |
| اللغة: |
English |
| تدمد: |
1050-5164 |
| العلاقة: |
The Annals of Applied Probability; 29; 2019-10; Institute of Mathematical Statistics; non; oui; https://basepub.dauphine.fr/handle/123456789/20361Test |
| الإتاحة: |
https://basepub.dauphine.fr/handle/123456789/20361Test |
| رقم الانضمام: |
edsbas.D9237295 |
| قاعدة البيانات: |
BASE |
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