Showing 2024 · math.PRShow all
3 papers · 2 filters
math.PR2024
State spaces of multifactor approximations of nonnegative Volterra processes
Eduardo Abi Jaber, Christian Bayer, Simon Breneis
We show that the state spaces of multifactor Markovian processes, coming from approximations of nonnegative Volterra processes, are given by explicit linear transformation of the n…
math.PR2024
Path-dependent processes from signatures
Eduardo Abi Jaber, Louis-Amand Gérard, Yuxing Huang
We provide explicit series expansions to certain stochastic path-dependent integral equations in terms of the path signature of the time augmented driving Brownian motion. Our fram…
math.PR2024
Polynomial Volterra processes
Eduardo Abi Jaber, Christa Cuchiero, Luca Pelizzari +2
We study the class of continuous polynomial Volterra processes, which we define as solutions to stochastic Volterra equations driven by a continuous semimartingale with affine drif…