Markovian structure of the Volterra Heston model (Q2322574): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Changed an Item |
||
| Property / arXiv ID | |||
| Property / arXiv ID: 1803.00477 / rank | |||
Normal rank | |||
Revision as of 04:09, 19 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Markovian structure of the Volterra Heston model |
scientific article |
Statements
Markovian structure of the Volterra Heston model (English)
0 references
5 September 2019
0 references
affine Volterra processes
0 references
stochastic Volterra equations
0 references
Markovian representation
0 references
stochastic invariance
0 references
Riccati-Volterra equations
0 references
rough volatility
0 references
