<div class="csl-bib-body">
<div class="csl-entry">Wiedermann, K., Friesen, M., & Gerhold, S. (2024, October 24). <i>Small-time central limit theorems for stochastic Volterra integral equations and their implications on the Markov property</i> [Conference Presentation]. Stochastics in Mathematical Finance and Physics Conference, Hammamet, Tunisia. http://hdl.handle.net/20.500.12708/209502</div>
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/209502
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dc.description.abstract
In this work, we prove a small-time central limit theorem for the finite-dimensional distributions of sufficiently smooth transformations of solutions to stochastic Volterra integral equations X as well as its extension to a functional CLT, where we focus on locally square-integrable kernels K with small-time power law asymptotics and coefficients satisfying linear growth and Hölder conditions. Furthermore, we present two approaches for proving the non-Markovianity of certain SVIE solutions, which is of importance for applications in mathematical finance as it highlights the need for more sophisticated concepts for pricing and hedging financial derivatives. On the one hand, this can be achieved by reducing the SVIE via the above CLT to the Gaussian Riemann-Liouville case. Moreover, if K is also completely monotone, we can conclude the non-Markovianity of X by studying the conditional distributions of an appropriate, Hilbert space valued Markovian lift given X. We conclude by deriving a small-time CLT also for the Markovian lift, which implies the above CLT for X provided the applicability of a certain projection operator. Joint work with Martin Friesen and Stefan Gerhold.
en
dc.language.iso
en
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dc.subject
Stochastic Volterra Integral Equations
en
dc.subject
Central Limit Theorems
en
dc.subject
Non-Markovianity
en
dc.subject
Markovian Lifts
en
dc.title
Small-time central limit theorems for stochastic Volterra integral equations and their implications on the Markov property
en
dc.type
Presentation
en
dc.type
Vortrag
de
dc.contributor.affiliation
Dublin City University, Ireland
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dc.type.category
Conference Presentation
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tuw.publication.invited
invited
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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
10
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tuw.researchTopic.value
90
-
tuw.publication.orgunit
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
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tuw.author.orcid
0000-0002-5110-8404
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tuw.author.orcid
0000-0002-4172-3956
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tuw.event.name
Stochastics in Mathematical Finance and Physics Conference
en
tuw.event.startdate
21-10-2024
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tuw.event.enddate
25-10-2024
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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
Hammamet
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tuw.event.country
TN
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tuw.event.presenter
Wiedermann, Kristof
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tuw.event.track
Multi Track
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wb.sciencebranch
Wirtschaftswissenschaften
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wb.sciencebranch
Mathematik
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wb.sciencebranch.oefos
5020
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wb.sciencebranch.oefos
1010
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wb.sciencebranch.value
10
-
wb.sciencebranch.value
90
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item.openairetype
conference paper not in proceedings
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item.cerifentitytype
Publications
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item.grantfulltext
none
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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.fulltext
no Fulltext
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crisitem.author.dept
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
-
crisitem.author.dept
Dublin City University
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crisitem.author.dept
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
-
crisitem.author.orcid
0000-0002-5110-8404
-
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
