On stochastic integration for volatility modulated Lévy-driven Volterra processes

Ole Barndorff-Nielsen, Fred Espen Benth, Jan Pedersen and Almut Veraart

Stochastic Processes and their Applications, 2014, vol. 124, issue 1, 812-847

Abstract: This paper develops a stochastic integration theory with respect to volatility modulated Lévy-driven Volterra (V MLV) processes. It extends recent results in the literature to allow for stochastic volatility and pure jump processes in the integrator. The new integration operator is based on Malliavin calculus and describes an anticipative integral. Fundamental properties of the integral are derived and important applications are given.

Keywords: Volatility modulated Volterra process; Lévy semistationary processes; Stochastic integration; Skorohod integral; Malliavin calculus (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:124:y:2014:i:1:p:812-847

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DOI: 10.1016/j.spa.2013.09.007

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