28-31 August 2018
Angers - France
Europe/Paris timezone

Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case

31 Aug 2018, 09:00
40m
Angers - France

Angers - France

Speaker

Josef Teichmann (ETH Zurich)

Description

We consider stochastic (partial) differential equations appearing as Markovian lifts of affine Volterra processes with jumps from the point of view of the generalized Feller property which was introduced in, e.g., Dörsek-Teichmann (2010). In particular we provide new existence, uniqueness and approximation results for Markovian lifts of affine rough volatility models of general jump diffusion type. We demonstrate that in this Markovian light the theory of stochastic Volterra processes becomes almost classical.

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