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State spaces of multifactor approximations of nonnegative...
[Submitted on 23 Dec 2024 (v1), last revised 14 Jul 2026 (this v · 2024-12-23 · via math updates on arXiv.org

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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.

Submission history

From: Christian Bayer [view email]
[v1] Mon, 23 Dec 2024 12:50:09 UTC (513 KB)
[v2] Tue, 14 Jul 2026 08:23:44 UTC (448 KB)