Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Pedersen, Jan - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 812-847
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...
