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State spaces of multifactor approximations of nonnegative Volterra processes

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arxiv 2412.17526 v2 pith:POYQKZEY submitted 2024-12-23 math.PR q-fin.MF

classification math.PRq-fin.MF
keywords nonnegativeprocessesvolterraapproximationsmultifactorspacesstateapplications
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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.

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Cited by 2 Pith papers

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. Full citation record

  1. Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian

    q-fin.MF 2025-04 conditional novelty 6.0 of 10

    An inverse-Gaussian implicit scheme for integrated Volterra square-root processes is proved weakly convergent and shown numerically accurate with very few time steps, including for hyper-rough fractional kernels.

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    q-fin.PR 2025-05 conditional novelty 5.0 of 10

    The grey Bergomi model adds a non-Gaussian 'grey' Brownian driver to rough Bergomi, producing new pricing and asymptotic formulas, but its joint SPX/VIX calibration remains inaccurate and can collapse back to the log-...

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