Gaussian Volterra Drivers

Giulia Di Nunno (), Yuliya Mishura () and Anton Yurchenko-Tytarenko ()
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Giulia Di Nunno: University of Oslo, Department of Mathematics
Yuliya Mishura: Taras Shevchenko National University of Kyiv, Department of Probability Theory, Statistics and Actuarial Mathematics
Anton Yurchenko-Tytarenko: Statkraft Energi AS

Chapter 6 in Volterra Volatility Models, 2026, pp 177-222 from Springer

Abstract: Abstract In this chapter, we study sandwiched stochastic equations driven by Hölder-continuous Gaussian Volterra processes. We establish the Malliavin differentiability of their solutions as well as construct Markovian approximations of their non-Markovian dynamics. These results serve as the foundation for the numerical methods developed in Chaps. 8 and 9 .

Date: 2026
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DOI: 10.1007/978-3-032-26576-0_6

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