Affine Volterra processes with jumps

DOI10.1016/j.spa.2023.104264arXiv2203.06400OpenAlexW4299589550MaRDI QIDQ6189179

Alessandro Bondi, Sergio Pulido, Giulia Livieri

Publication date: 12 January 2024

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

Full work available at URL: https://arxiv.org/abs/2203.06400

zbMATH Keywords

Hawkes processesaffine processesstochastic Volterra equationsrough volatilityaffine Volterra processesRiccati-Volterra equations

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Volterra integral equations (45D05) Stochastic integral equations (60H20)

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