Markovian structure of the Volterra Heston model - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Statistics and Probability Letters Année : 2019

Markovian structure of the Volterra Heston model

Omar El Euch
  • Fonction : Auteur
  • PersonId : 1027310

Résumé

We characterize the Markovian and affine structure of the Volterra Heston model in terms of an infinite-dimensional adjusted forward process and specify its state space. More precisely, we show that it satisfies a stochastic partial differential equation and displays an exponentially-affine characteristic functional. As an application, we deduce an existence and uniqueness result for a Banach-space valued square-root process and provide its state space. This leads to another representation of the Volterra Heston model together with its Fourier-Laplace transform in terms of this possibly infinite system of affine diffusions.
Fichier principal
Vignette du fichier
AJEE_Markovian_Final_20180223.pdf (457.51 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01716696 , version 1 (24-02-2018)
hal-01716696 , version 2 (28-02-2018)

Identifiants

Citer

Eduardo Abi Jaber, Omar El Euch. Markovian structure of the Volterra Heston model. Statistics and Probability Letters, 2019. ⟨hal-01716696v2⟩
691 Consultations
544 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More