The authors introduce a continuous-time self-exciting multifractional process as the solution of a Volterra stochastic differential equation and prove existence, uniqueness, Hölder regularity, and an Euler-Maruyama convergence rate.
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Self-Exciting Multifractional Processes
The authors introduce a continuous-time self-exciting multifractional process as the solution of a Volterra stochastic differential equation and prove existence, uniqueness, Hölder regularity, and an Euler-Maruyama convergence rate.