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q-fin.MF2026
A GLE-LSV model with state-dependent leverage and colored noise
Andrey Itkin
We study a local stochastic volatility (LSV) model in which the variance factor follows a generalized Langevin equation (GLE) with colored noise, and past returns act on variance t…
q-fin.MF2026
Beyond Rough Volatility: Decoupling Memory and Scaling via a Generalized Langevin Equation
Andrey Itkin
Borrowed from non-equilibrium statistical mechanics, the generalized Langevin equation (GLE) is imported as a framework for stochastic volatility to address the structural limitati…