论文标题
跳跃的仿射伏特拉工艺
Affine Volterra processes with jumps
论文作者
论文摘要
仿射过程的理论最近已扩展到具有连续轨迹的随机燃烧方程的框架。这些所谓的仿射燃烧过程克服了仿射过程的建模缺点，因为它们可以具有规律性与布朗运动路径的规律性不同的轨迹。更具体地说，单数内核产生粗糙的仿射过程。本文通过考虑跳跃的仿射随机燃烧方程来扩展理论。此扩展不是直接的，因为跳跃结构以及内核的可能奇异性可能会引起轨迹的爆炸。
The theory of affine processes has been recently extended to the framework of stochastic Volterra equations with continuous trajectories. These so-called affine Volterra processes overcome modeling shortcomings of affine processes because they can have trajectories whose regularity is different from the regularity of the paths of Brownian motion. More specifically, singular kernels yield rough affine processes. This paper extends the theory by considering affine stochastic Volterra equations with jumps. This extension is not straightforward because the jump structure together with possible singularities of the kernel may induce explosions of the trajectories.
