| dc.date.accessioned | 2015-01-26T14:47:20Z | |
| dc.date.available | 2015-01-26T14:47:20Z | |
| dc.date.created | 2014-06-02T14:58:02Z | |
| dc.date.issued | 2014 | |
| dc.identifier.citation | Barndorff-Nielsen, Ole E. Benth, Fred Espen Szozda, Benedykt . On stochastic integration for volatility modulated Brownian driven Volterra processes via white noise analysis. Infinite Dimensional Analysis Quantum Probability and Related Topics. 2014, 17(2) | |
| dc.identifier.uri | http://hdl.handle.net/10852/41914 | |
| dc.description.abstract | This paper generalizes the integration theory for volatility modulated Brownian-driven Volterra processes onto the space of Potthoff–Timpel distributions. Sufficient conditions for integrability of generalized processes are given, regularity results and properties of the integral are discussed. We introduce a new volatility modulation method through the Wick product and discuss its relation to the pointwise-multiplied volatility model.
Preprint of an article published in Infinite Dimensional Analysis Quantum Probability and Related Topics. 2014, 17 (2), DOI: http://dx.doi.org/10.1142/S0219025714500118 © World Scientific Publishing Company http://www.worldscientific.com/worldscinet/idaqp | en_US |
| dc.language | EN | |
| dc.language.iso | en | en_US |
| dc.title | On stochastic integration for volatility modulated Brownian driven Volterra processes via white noise analysis | en_US |
| dc.type | Journal article | en_US |
| dc.creator.author | Barndorff-Nielsen, Ole E. | |
| dc.creator.author | Benth, Fred Espen | |
| dc.creator.author | Szozda, Benedykt | |
| cristin.unitcode | 185,15,13,35 | |
| cristin.unitname | Stokastisk analyse, finans, forsikring og risiko | |
| cristin.ispublished | true | |
| cristin.fulltext | preprint | |
| cristin.qualitycode | 2 | |
| dc.identifier.cristin | 1135929 | |
| dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Infinite Dimensional Analysis Quantum Probability and Related Topics&rft.volume=17&rft.spage=&rft.date=2014 | |
| dc.identifier.jtitle | Infinite Dimensional Analysis Quantum Probability and Related Topics | |
| dc.identifier.volume | 17 | |
| dc.identifier.issue | 2 | |
| dc.identifier.doi | http://dx.doi.org/10.1142/S0219025714500118 | |
| dc.identifier.urn | URN:NBN:no-46321 | |
| dc.type.document | Tidsskriftartikkel | en_US |
| dc.source.issn | 0219-0257 | |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/41914/2/paper19.pdf | |
| dc.type.version | SubmittedVersion | |