Prediction of Gaussian Volterra Processes with Compound Poisson Jumps

TL;DR

This paper develops a method to predict Gaussian Volterra processes that include compound Poisson jumps, providing a new way to understand their future behavior.

Contribution

It introduces a novel approach to derive the prediction law for Gaussian Volterra processes with jump components, advancing stochastic process modeling.

Findings

Derived the prediction law for the process with jumps

Enhanced understanding of jump-augmented Gaussian processes

Potential applications in finance and engineering

Abstract

We consider a Gaussian Volterra process with compound Poisson jumps and derive its prediction law.