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multifactor approximation 1nonnegative processes 1partial differential equations 1simulation methods 1state space analysis 1volterra processes 1

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math.PR2026

State spaces of multifactor approximations of nonnegative Volterra processes

Eduardo Abi Jaber, Christian Bayer, Simon Breneis

The paper identifies the exact shape of the state space for multifactor Markovian approximations of non‑negative Volterra processes, showing it is a linear transformation of the no…