Volterra square-root process: stationarity and regularity of the law

DOI10.1214/23-aap1965arXiv2203.08677MaRDI QIDQ6126106

Peng Jin, Martin Friesen

Publication date: 9 April 2024

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.08677

zbMATH Keywords

Volterra integral equationslimiting distributionsmean-reversionabsolute continuitysquare-root processaffine Volterra processes

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Volterra integral equations (45D05)

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