WIAS Preprint No. 3162, (2025)

State spaces of multifactor approximations of nonnegative Volterra processes


Authors

  • Abi Jaber, Eduardo
  • Bayer, Christian
    ORCID: 0000-0002-9116-0039
  • Breneis, Simon

2020 Mathematics Subject Classification

  • 60H20 91-10 91-08

Keywords

  • Stochastic Volterra equations, Markovian approcimations, rough Heston model, viability and invariance, simulation, PDEs

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.

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