Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
Metadata only
Datum
2018Typ
- Working Paper
ETH Bibliographie
yes
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Publikationsstatus
publishedExterne Links
Zeitschrift / Serie
arXivSeiten / Artikelnummer
Verlag
Cornell UniversityThema
variation of constants formula; stochastic partial differential equations; affine processes; stochastic Volterra processes; rough volatility modelsOrganisationseinheit
03845 - Teichmann, Josef / Teichmann, Josef
ETH Bibliographie
yes
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