{"paper":{"title":"A generalised It\\=o formula for L\\'evy-driven Volterra processes","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.PR","authors_text":"Christian Bender, Philip Oberacker, Robert Knobloch","submitted_at":"2014-02-26T15:22:06Z","abstract_excerpt":"We derive a generalised It\\=o formula for stochastic processes which are constructed by a convolution of a deterministic kernel with a centred L\\'evy process. This formula has a unifying character in the sense that it contains the classical It\\=o formula for L\\'evy processes as well as recent change-of-variable formulas for Gaussian processes such as fractional Brownian motion as special cases. Our result also covers fractional L\\'evy processes (with Mandelbrot-Van Ness kernel) and a wide class of related processes for which such a generalised It\\=o formula has not yet been available in the li"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1402.6568","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}