On the approximation of Lévy driven Volterra processes and their integrals

DOI10.1016/j.jmaa.2019.02.051zbMath1422.60064arXiv1809.04011OpenAlexW2963206440MaRDI QIDQ2633845

Giulia Di Nunno, Andrea Fiacco, Erik Hove Karlsen

Publication date: 10 May 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.04011

zbMATH Keywords

fractional Brownian motionRiemann-Liouville fractional integralVolterra processesgeneralized Lebesgue-Stieltjes integralambit processesnon-semimartingales

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Related Items

Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises

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