<div class="csl-bib-body">
<div class="csl-entry">Gerhold, S., & Wiedermann, K. (2023, March 7). <i>A CLT for Solutions to Stochastic Volterra Integral Equations</i> [Conference Presentation]. 16th German Probability and Statistics Days GPSD 2023, Essen, Germany. http://hdl.handle.net/20.500.12708/191889</div>
</div>
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/191889
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dc.description.abstract
In this work, we prove a central limit theorem for the finite-dimensional distributions of solutions to stochastic Volterra integral equations, where we focus on coefficients satisfying linear growth and Hölder conditions. As we consider the (potentially singular) Riemann-Liouville kernel, the Hurst Parameter H>0 plays an essential role in choosing the appropriate normalizing sequence for the CLT. Provided that the density of the solution is sufficiently smooth, we can, moreover, prove the non-Markovianity of the process, which is of importance for applications in mathematical finance as it significantly complicates pricing and hedging of financial derivatives. Joint work with Stefan Gerhold.
en
dc.language.iso
en
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dc.subject
Central Limit Theorem
en
dc.subject
Stochastic Volterra Integral Equation
en
dc.subject
Riemann-Liouville kernel
en
dc.subject
Small-Time Asymptotic
en
dc.subject
Non-Markovianity
en
dc.title
A CLT for Solutions to Stochastic Volterra Integral Equations
en
dc.type
Presentation
en
dc.type
Vortrag
de
dc.type.category
Conference Presentation
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tuw.researchTopic.id
A4
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tuw.researchTopic.id
A3
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tuw.researchTopic.name
Mathematical Methods in Economics
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tuw.researchTopic.name
Fundamental Mathematics Research
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tuw.researchTopic.value
20
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tuw.researchTopic.value
80
-
tuw.publication.orgunit
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
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tuw.author.orcid
0000-0002-4172-3956
-
tuw.event.name
16th German Probability and Statistics Days GPSD 2023
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tuw.event.startdate
07-03-2023
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tuw.event.enddate
10-03-2023
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tuw.event.online
On Site
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tuw.event.type
Event for scientific audience
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tuw.event.place
Essen
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tuw.event.country
DE
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tuw.event.institution
Universität Duisburg-Essen
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tuw.event.presenter
Wiedermann, Kristof
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wb.sciencebranch
Mathematik
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wb.sciencebranch.oefos
1010
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wb.sciencebranch.value
100
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item.languageiso639-1
en
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item.openairecristype
http://purl.org/coar/resource_type/c_18cp
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item.openairetype
conference paper not in proceedings
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item.cerifentitytype
Publications
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item.fulltext
no Fulltext
-
item.grantfulltext
none
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crisitem.author.dept
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
-
crisitem.author.dept
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
-
crisitem.author.orcid
0000-0002-4172-3956
-
crisitem.author.parentorg
E105 - Institut für Stochastik und Wirtschaftsmathematik
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crisitem.author.parentorg
E105 - Institut für Stochastik und Wirtschaftsmathematik