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@article{Barndorff-Nielsen:2013:10.1016/j.spa.2013.09.007,
author = {Barndorff-Nielsen, OE and Benth, FE and Pedersen, J and Veraart, AED},
doi = {10.1016/j.spa.2013.09.007},
journal = {Stochastic Processes and their Applications},
pages = {812--847},
title = {On stochastic integration for volatility modulated Levy-driven Volterra processes},
url = {http://dx.doi.org/10.1016/j.spa.2013.09.007},
volume = {124},
year = {2013}
}

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TY  - JOUR
AB  - This paper develops a stochastic integration theory with respect to volatility modulated Lévy-driven Volterra () processes. It extends recent results in the literature to allow for stochastic volatility and pure jump processes in the integrator. The new integration operator is based on Malliavin calculus and describes an anticipative integral. Fundamental properties of the integral are derived and important applications are given.
AU  - Barndorff-Nielsen,OE
AU  - Benth,FE
AU  - Pedersen,J
AU  - Veraart,AED
DO  - 10.1016/j.spa.2013.09.007
EP  - 847
PY  - 2013///
SN  - 0304-4149
SP  - 812
TI  - On stochastic integration for volatility modulated Levy-driven Volterra processes
T2  - Stochastic Processes and their Applications
UR  - http://dx.doi.org/10.1016/j.spa.2013.09.007
UR  - http://www.sciencedirect.com/science/article/pii/S0304414913002445
VL  - 124
ER  -