Affine Volterra processes (Q2286463)

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Affine Volterra processes
scientific article

    Statements

    title
    Affine Volterra processes (English)
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    author
    Eduardo Abi Jaber
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    Martin Larsson
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    Sergio Pulido
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    publication date
    22 January 2020
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    zbMATH Keywords
    stochastic Volterra equations
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    Riccati-Volterra equations
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    affine processes
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    rough volatility
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    cites work
    Q3884916
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    Q3899268
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    Q4269108
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    Q2752090
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    Volatility is rough
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    Q4692887
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    Q4435813
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    Q4226355
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    Identifiers

    DOI
    10.1214/19-AAP1477
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    Mathematics Subject Classification ID
    60H20
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    45D05
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    60G22
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    91G20
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    zbMATH DE Number
    7155069
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    arXiv ID
    1708.08796
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    OpenAlex ID
    W2980737890
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