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math.PR2019
Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels
Eduardo Abi Jaber
We provide existence, uniqueness and stability results for affine stochastic Volterra equations with -kernels and jumps. Such equations arise as scaling limits of branching pr…
math.PR2018
Markovian structure of the Volterra Heston model
Eduardo Abi Jaber, Omar El Euch
We characterize the Markovian and affine structure of the Volterra Heston model in terms of an infinite-dimensional adjusted forward process and specify its state space. More preci…