On stochastic integration for volatility modulated Lévy-driven Volterra processes

This paper develops a stochastic integration theory with respect to volatility modulated Lévy-driven Volterra (V MLV) processes. It extends recent results in the literature to allow for stochastic volatility and pure jump processes in the integrator. The new integration operator is based on Malliavin calculus and describes an anticipative integral. Fundamental properties of the integral are derived and important applications are given.

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Year of publication:	2014
Authors:	Barndorff-Nielsen, Ole E. ; Benth, Fred Espen ; Pedersen, Jan ; Veraart, Almut E.D.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 1, p. 812-847
Publisher:	Elsevier
Subject:	Volatility modulated Volterra process \| Lévy semistationary processes \| Stochastic integration \| Skorohod integral \| Malliavin calculus

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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