Gaussian processes with Volterra kernels

Yuliya Mishura, Georgiy Shevchenko, Sergiy Shklyar

We study Volterra processes $X_t={\int }_0^{t}K(t,s)d{W}_s$, where $W$ is a standard Wiener process, and the kernel has the form $K(t,s)=a(s){\int }_s^{t}b(u)c(u-s)du$. This form gen…