Projects per year
Abstract
Fractional Brownian motion with the Hurst parameter H < 1 2 is used widely, for instance, to describe a ’rough’ stochastic volatility process in finance. In this paper, we examine a generalised Ait-Sahaliatype model driven by a fractional Brownian motion with H < 1 2 and establish theoretical properties such as an existence-and-uniqueness theorem, regularity in the sense of Malliavin differentiability and higher moments of the strong solutions.
| Original language | English |
|---|---|
| Pages (from-to) | 744-767 |
| Number of pages | 24 |
| Journal | Journal of Theoretical Probability |
| Volume | 37 |
| Issue number | 1 |
| Early online date | 13 Jun 2023 |
| DOIs | |
| Publication status | Published - Mar 2024 |
Keywords
- rough volatility
- Malliavian calculus
- fractional Brownian motion
- strong solution
- higher moments
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Dive into the research topics of 'On the analysis of Ait-Sahalia-type model for rough volatility modelling'. Together they form a unique fingerprint.Projects
- 2 Finished
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Maths Research Associates 2021 Strathclyde
MacKenzie, J. (Principal Investigator)
EPSRC (Engineering and Physical Sciences Research Council)
1/01/21 → 30/09/23
Project: Research
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Long-time dynamics of numerical solutions of stochastic differential equations
Mao, X. (Principal Investigator)
1/10/16 → 30/09/21
Project: Research