State spaces of multifactor approximations of nonnegative Volterra processes

Eduardo Abi Jaber (), Christian Bayer () and Simon Breneis ()
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Eduardo Abi Jaber: CMAP - Centre de Mathématiques Appliquées de l'Ecole polytechnique - Inria - Institut National de Recherche en Informatique et en Automatique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Christian Bayer: WIAS - Weierstraß-Institut für Angewandte Analysis und Stochastik = Weierstrass Institute for Applied Analysis and Stochastics [Berlin] - FVB - Forschungsverbund Berlin e.V. (FVB)

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Abstract: We show that the state spaces of multifactor Markovian processes, coming from approximations of nonnegative Volterra processes, are given by explicit linear transformation of the nonnegative orthant. We demonstrate the usefulness of this result for applications, including simulation schemes and PDE methods for nonnegative Volterra processes.

Keywords: Stochastic Volterra equations Markovian approximations rough Heston model Viability and Invariance Simulation PDEs; Stochastic Volterra equations; Markovian approximations; rough Heston model; Viability and Invariance; Simulation; PDEs (search for similar items in EconPapers)
Date: 2024-12-23
Note: View the original document on HAL open archive server: https://hal.science/hal-04854325v1
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