3 papers
math.ST2016
Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations
Fred Espen Benth, Heidar Eyjolfsson
We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (HSPDE). These solutions can in turn estimate s…
math.PR2015
Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility
Fred Espen Benth, Barbara Ruediger, Andre Suess
We propose a non-Gaussian operator-valued extension of the Barndorff-Nielsen and Shephard stochastic volatility dynamics, defined as the square-root of an operator-valued Ornstein-…
math.PR2012
Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart
Ambit stochastics is the name for the theory and applications of ambit fields and ambit processes and constitutes a new research area in stochastics for tempo-spatial phenomena. Th…