Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations-Reference-Cited by-同舟云学术

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Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations

Published:2024-12 Issue: Volume:178 Page:104482
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Hamaguchi Yushi^ORCID

Funder

Japan Society for the Promotion of Science

Publisher

Elsevier BV

Reference44 articles.

1. Lifting the Heston model;Abi Jaber;Quant. Finance,2019

2. A weak solution theory for stochastic Volterra equations of convolution type;Abi Jaber;Ann. Appl. Probab.,2021

3. Multifactor approximation of rough volatility models;Abi Jaber;SIAM J. Financial Math.,2019

4. Linear-Quadratic control for a class of stochastic Volterra equations: solvability and approximation;Abi Jaber;Ann. Appl. Probab.,2021

5. Approximation of stochastic Volterra equations with kernels of completely monotone type;Alfonsi,2021

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