On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis
arXiv:1303.4625 · doi:10.1142/S0219025714500118
Abstract
This paper generalizes the integration theory for volatility modulated Brownian-driven Volterra processes onto the space G* of Potthoff-Timpel distributions. Sufficient conditions for integrability of generalized processes are given, regularity results and properties of the integral are discussed. We introduce a new volatility modulation method through the Wick product and discuss its relation to the pointwise-multiplied volatility model.
35 pages, extends the results of arXiv:1205.3275