Stochastic Volterra convolution with Lévy process
نویسنده
چکیده
In the paper we study stochastic convolution appearing in Volterra equation driven by so called Lévy process. By Lévy process we mean a process with homogeneous independent increments, continuous in probability and cadlag.
منابع مشابه
Stochastic Calculus for Convoluted Lévy Processes
Abstract. We develop a stochastic calculus for processes which are built by convoluting a pure jump, zero expectation Lévy process with a Volterra-type kernel. This class of processes contains, for example, fractional Lévy processes as studied in Marquardt (2006b). The integral which we introduce is a Skorohod integral. Nonetheless we avoid the technicalities from Malliavin calculus and white n...
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