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On stochastic integration for volatility modulated Lévy-driven Volterra processes |
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| Authors: | Ole E. Barndorff-Nielsen Fred Espen Benth Jan Pedersen Almut E.D. Veraart |
| Affiliation: | 1. Thiele Center, Department of Mathematics, Aarhus University, Ny Munkegade 118, DK-8000 Aarhus C, Denmark;2. Centre of Mathematics for Applications, University of Oslo, P.O. Box 1053, Blindern, N-0316 Oslo, Norway;3. Department of Mathematics, Aarhus University, Ny Munkegade 118, DK-8000 Aarhus C, Denmark;4. Department of Mathematics, Imperial College London, 180 Queen’s Gate, SW7 2AZ London, UK |
| Abstract: | |
| Keywords: | Volatility modulated Volterra process Lé vy semistationary processes Stochastic integration Skorohod integral Malliavin calculus |
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