Abstract
This paper generalizes the integration theory for volatility modulated Brownian-driven Volterra processes onto the space of Potthoff–Timpel distributions. Sufficient conditions for integrability of generalized processes are given, regularity results and properties of the integral are discussed. We introduce a new volatility modulation method through the Wick product and discuss its relation to the pointwise-multiplied volatility model.
Preprint of an article published in Infinite Dimensional Analysis Quantum Probability and Related Topics. 2014, 17 (2), DOI: http://dx.doi.org/10.1142/S0219025714500118 © World Scientific Publishing Company http://www.worldscientific.com/worldscinet/idaqp