Integration theory for infinite dimensional volatility modulated Volterra processes

DOI10.3150/15-BEJ696MaRDI QIDQ282536zbMATH OpenOpenAlexFDO

Authors Fred Espen Benth, André Süss

Publication date 12 May 2016

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.7143, https://projecteuclid.org/euclid.bj/1458132986

zbMATH Keywords

Gaussian random fieldsMalliavin calculusstochastic integrationVolterra processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We treat a stochastic integration theory for a class of Hilbert-valued, volatility-modulated, conditionally Gaussian Volterra processes. We apply techniques from Malliavin calculus to define this stochastic integration as a sum of a Skorohod integral, where the integrand is obtained by applying an operator to the original integrand, and a correction term involving the Malliavin derivative of the same altered integrand, integrated against the Lebesgue measure. The resulting integral satisfies many of the expected properties of a stochastic integral, including an It^{o} formula. Moreover, we derive an alternative definition using a random-field approach and relate both concepts. We present examples related to fundamental solutions to partial differential equations.

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Cited in

(6)

• Stochastic integration with respect to Volterra processes
• On stochastic integration for volatility modulated Lévy-driven Volterra processes
• A Malliavin-Skorohod calculus in \(L^{0}\) and \(L^{1}\) for additive and Volterra-type processes
• Ambit fields: survey and new challenges
• Stochastic integrals and Gelfand integration in Fréchet spaces
• On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis

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