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- W4223460157 abstract "We show the existence of a stationary measure for a class of multidimensional stochastic Volterra systems of affine type. These processes are in general not Markovian, a shortcoming which hinders their large-time analysis. We circumvent this issue by lifting the system to a measure-valued stochastic PDE introduced by Cuchiero and Teichmann, whence we retrieve the Markov property. Leveraging on the associated generalised Feller property, we extend the Krylov-Bogoliubov theorem to this infinite-dimensional setting and thus establish an approach to the existence of invariant measures. We present concrete examples, including the rough Heston model from Mathematical Finance." @default.
- W4223460157 created "2022-04-15" @default.
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- W4223460157 date "2022-04-11" @default.
- W4223460157 modified "2023-09-27" @default.
- W4223460157 title "On the large-time behaviour of affine Volterra processes" @default.
- W4223460157 doi "https://doi.org/10.48550/arxiv.2204.05270" @default.
- W4223460157 hasPublicationYear "2022" @default.
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