On the approximation of Lévy driven Volterra processes and their integrals
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Publication:2633845
Abstract: Volterra processes appear in several applications ranging from turbulence to energy finance where they are used in the modelling of e.g. temperatures and wind and the related financial derivatives. Volterra processes are in general non-semimartingales and a theory of integration with respect to such processes is in fact not standard. In this work we suggest to construct an approximating sequence of L'evy driven Volterra processes, by perturbation of the kernel function. In this way, one can obtain an approximating sequence of semimartingales. Then we consider fractional integration with respect to Volterra processes as integrators and we study the corresponding approximations of the fractional integrals. We illustrate the approach presenting the specific study of the Gamma-Volterra processes. Examples and illustrations via simulation are given.
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Cited in
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- The stochastic Leibniz formula for Volterra integrals under enlarged filtrations
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- Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises
- Weak convergence and large deviations for \(\mathrm{RV}_\beta\) Volterra-Lévy processes
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