State spaces of multifactor approximations of nonnegative Volterra processes
Authors:
- Eduardo JaberEJEduardo Jaber
- Christian BayerCBChristian Bayer
- Eduardo Abi JaberEJEduardo Abi Jaber
- Simon BreneisSBSimon Breneis
Preprint
Abstract
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.Keywords
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