Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises
DOI10.1007/978-3-031-17820-7_14arXiv2008.10854OpenAlexW3080774146MaRDI QIDQ6193451
Kostiantyn Ralchenko, Giulia Di Nunno, Yuliya S. Mishura
Publication date: 16 March 2024
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2008.10854
weak solutioncontinuityGaussian processstrong solutionHölder propertyLévy processVolterra processSonine pair
Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Pricing options with credit risk in a reduced form model
- Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise
- A series expansion of fractional Brownian motion
- Spectral representations of infinitely divisible processes
- Volterra equations driven by rough signals
- The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process
- Regularization of differential equations by fractional noise.
- On the approximation of Lévy driven Volterra processes and their integrals
- Fractional Lévy Processes as a Result of Compact Interval Integral Transformation
- Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
- A Microeconomic Approach to Diffusion Models For Stock Prices
- Stochastic Analysis of Mixed Fractional Gaussian Processes
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- An equilibrium characterization of the term structure
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- On the Theory of the Brownian Motion II
This page was built for publication: Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises
