Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2412.17526 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866912167384580096 |
|---|---|
| author | Jaber, Eduardo Abi Bayer, Christian Breneis, Simon |
| author_facet | Jaber, Eduardo Abi Bayer, Christian Breneis, Simon |
| contents | We show that the state spaces of multifactor Markovian processes, coming from approximations of nonnegative Volterra processes, are given by explicit linear transformation of the nonnegative orthant. We demonstrate the usefulness of this result for applications, including simulation schemes and PDE methods for nonnegative Volterra processes. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_17526 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | State spaces of multifactor approximations of nonnegative Volterra processes Jaber, Eduardo Abi Bayer, Christian Breneis, Simon Probability Mathematical Finance 60H20, 91-10, 91-08 We show that the state spaces of multifactor Markovian processes, coming from approximations of nonnegative Volterra processes, are given by explicit linear transformation of the nonnegative orthant. We demonstrate the usefulness of this result for applications, including simulation schemes and PDE methods for nonnegative Volterra processes. |
| title | State spaces of multifactor approximations of nonnegative Volterra processes |
| topic | Probability Mathematical Finance 60H20, 91-10, 91-08 |
| url | https://arxiv.org/abs/2412.17526 |