Polynomial Volterra processes
Recent studies have extended the theory of affine processes to the stochastic Volterra equati- ons framework. In this talk, I will describe how the theory of polynomial processes extends to the Volterra setting. In particular, I will explain the moment formula and an interesting stochastic invariance result in this context. This is joint work with Eduardo Abi Jaber, Christa Cuchiero, Luca Pelizzari and Sara Svaluto-Ferro.