Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility

DOI10.1016/j.spa.2017.05.005zbMath1380.60010arXiv1506.07245OpenAlexW2963596402MaRDI QIDQ1688615

Barbara Rüdiger, Fred Espen Benth, André Süss

Publication date: 11 January 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.07245

zbMATH Keywords

stochastic volatilityOrnstein-Uhlenbeck processesforward price dynamicsHilbert-valued stochastic processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probability theory on linear topological spaces (60B11)

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Affine pure-jump processes on positive Hilbert-Schmidt operators ⋮ Independent increment processes: a multilinearity preserving property ⋮ An infinite‐dimensional affine stochastic volatility model ⋮ An uncertain exponential Ornstein-Uhlenbeck interest rate model with uncertain CIR volatility ⋮ Infinite dimensional affine processes ⋮ Infinite dimensional pathwise Volterra processes driven by Gaussian noise -- probabilistic properties and applications -- ⋮ The Heston stochastic volatility model in Hilbert space ⋮ A weak law of large numbers for realised covariation in a Hilbert space setting ⋮ Centre-of-mass like superposition of Ornstein-Uhlenbeck processes: A pathway to non-autonomous stochastic differential equations and to fractional diffusion

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