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White noise approach to integration of volatility modulated Brownian Volterra processes

Benedykt Szozda
(Aarhus University)
Thiele Seminar
Wednesday, 27 February, 2013, at 14:15-15:00, in Aud. G2 (1532-122)
In this talk, we present recent developments in the theory of stochastic integration for volatility modulated Brownian Volterra (VMBV) processes. We extend the results by Barndorff-Nielsen et al. from Malliavin calculus to white noise analysis. We review stochastic differentiation and integration in the white noise setting. Concentrating on the Potthoff-Timpel spaces, we establish sufficient conditions for a generalized process to be integrable with respect to a VMBV process and prove some regularity results. This talk is based on joint work with Fred Espen Benth and Ole Barndorff-Nielsen.
Organised by: Thiele Centre and CREATES
Contact person: Ole E. Barndorff-Nielsen