Canonical Markovian representations of stochastic Volterra equations

Abstract

We introduce canonical Markovian representations of stochastic Volterra processes in terms of transport stochastic partial differential equations (SPDEs). Solution theories are equivalent but the Markovian representation... [ view full abstract ]

Authors

  1. Christa Cuchiero (University of Vienna)
  2. Josef Teichmann (ETH Zurich)

Topic Areas

Partial Differential Equations , Stochastic Analysis , Stochastic Volatility

Session

TH-P-SW » Polynomial Models and Volterra Equations (14:30 - Thursday, 19th July, Swift)

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