On stochastic integration for volatility modulated Lévy-driven Volterra processes

Abstract

This papers develops a stochastic integration theory with respect to volatility modulated Lévy-driven Volterra (VMLV) 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.