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math.PR2020★ 1 cited
Inhomogeneous affine Volterra processes
Julia Ackermann, Thomas Kruse, Ludger Overbeck
We extend recent results on affine Volterra processes to the inhomogeneous case. This includes moment bounds of solutions of Volterra equations driven by a Brownian motion with an…
math.PR2020
A Functional Ito-Formula for Dawson-Watanabe Superprocesses
Christian Mandler, Ludger Overbeck
We derive an Ito-formula for the Dawson-Watanabe superprocess, a well-known class of measure-valued processes, extending the classical Ito-formula with respect to two aspects. Firs…