Markovian lifts of positive semidefinite affine Volterra-type processes

DOI10.1007/S10203-019-00268-5zbMATH Open1432.91110arXiv1907.01917OpenAlexW2973374607MaRDI QIDQ2292045FDOQ2292045

Authors: Christa Cuchiero, Josef Teichmann 

Publication date: 31 January 2020

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

Abstract: We consider stochastic partial differential equations appearing as Markovian lifts of matrix valued (affine) Volterra type processes from the point of view of the generalized Feller property (see e.g., cite{doetei:10}). We introduce in particular Volterra Wishart processes with fractional kernels and values in the cone of positive semidefinite matrices. They are constructed from matrix products of infinite dimensional Ornstein Uhlenbeck processes whose state space are matrix valued measures. Parallel to that we also consider positive definite Volterra pure jump processes, giving rise to multivariate Hawkes type processes. We apply these affine covariance processes for multivariate (rough) volatility modeling and introduce a (rough) multivariate Volterra Heston type model.

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

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zbMATH Keywords

stochastic partial differential equationsHawkes processesaffine processesWishart processesrough volatility modelsstochastic Volterra processes

Mathematics Subject Classification ID

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

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Cited In (22)

• Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
• Affine processes on positive semidefinite matrices
• Optimal control in linear-quadratic stochastic advertising models with memory
• From microscopic price dynamics to multidimensional rough volatility models
• The Laplace transform of the integrated Volterra Wishart process
• Measure-valued affine and polynomial diffusions
• Lifting the Heston model
• Utility Maximization in Multivariate Volterra Models
• Inhomogeneous affine Volterra processes
• Markowitz portfolio selection for multivariate affine and quadratic Volterra models
• Infinite-dimensional polynomial processes
• Infinite-dimensional Wishart processes
• Statistical inference for rough volatility: minimax theory
• Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations
• Volatility and volatility-linked derivatives: estimation, modeling, and pricing
• The rough Hawkes Heston stochastic volatility model
• Stochastic optimization of a mixed moving average process for controlling non-Markovian streamflow environments
• The characteristic function of Gaussian stochastic volatility models: an analytic expression
• A martingale approach for fractional Brownian motions and related path dependent PDEs
• A weak solution theory for stochastic Volterra equations of convolution type
• Dual stochastic descriptions of streamflow dynamics under model ambiguity through a Markovian embedding
• Volterra square-root process: stationarity and regularity of the law

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