Markovian lifts of positive semidefinite affine Volterra-type processes (Q2292045)

The goal of this paper is to investigate the infinite dimensional Markovian lifts of stochastic Volterra processes in a multivariate setup. The authors are mainly interested in the case where the stochastic Volterra processes take values in the cone of positive semidefinite matrices, and concentrate on the affine case due to its relevance for tractable rough covariance modeling, extending rough volatility to a setting of \(d\) ``roughly correlated'' assets. Viewing stochastic Volterra processes from an infinite dimensional perspective allows to dissolve a generic non-Markovianity of the at first sight naturally low-dimensional volatility process. Indeed, this approach makes it actually possible to go beyond the univariate case considered so far and treat the problem of multivariate rough covariance models for more than one asset. Moreover, the considered Markovian lifts allow to apply the full machinery of affine processes. The paper contains two approaches, namely, a theory of infinite dimensional affine Markovian lifts of pure jump positive semidefinite Volterra processes is developed, and a theory of squares of Gaussian processes is also developed in a general setting to construct infinite dimensional analogs of Wishart processes. They are constructed from matrix products of infinite dimensional Ornstein-Uhlenbeck processes whose state space is the set of matrix-valued measures. At the same time, positive definite Volterra pure jump processes are considered, giving rise to multivariate Hawkes-type processes. These affine covariance processes are applied for multivariate (rough) volatility modeling, in particular, a (rough) multivariate Volterra Heston-type model is introduced.