Markovian lifts of positive semidefinite affine Volterra-type processes

DOI10.1007/s10203-019-00268-5zbMath1432.91110arXiv1907.01917OpenAlexW2973374607MaRDI QIDQ2292045

Christa Cuchiero, Josef Teichmann

Publication date: 31 January 2020

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.01917

zbMATH Keywords

stochastic partial differential equationsHawkes processesaffine processesWishart processesrough volatility modelsstochastic Volterra processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Financial markets (91G15)

Related Items (14)

Utility Maximization in Multivariate Volterra Models ⋮ Inhomogeneous affine Volterra processes ⋮ The characteristic function of Gaussian stochastic volatility models: an analytic expression ⋮ The Laplace transform of the integrated Volterra Wishart process ⋮ Stochastic optimization of a mixed moving average process for controlling non-Markovian streamflow environments ⋮ Volterra square-root process: stationarity and regularity of the law ⋮ Lifting the Heston model ⋮ Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case ⋮ Infinite-dimensional polynomial processes ⋮ Volatility and volatility-linked derivatives: estimation, modeling, and pricing ⋮ A martingale approach for fractional Brownian motions and related path dependent PDEs ⋮ Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models ⋮ A weak solution theory for stochastic Volterra equations of convolution type ⋮ From microscopic price dynamics to multidimensional rough volatility models

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