Markovian lifting is a mathematical technique that expands the state space to the entire path or a custom-defined space, enabling the application of the Markov property to rough volatility models by transforming non-Markovian processes into Markovian ones through state space augmentation.
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Markovian Lifting for Rough Volatility Explained #shortsAdded:
In this video today, we're going to talk about the idea of marovian lifting specifically for rough volatility. We're going to start with a visual interpretation of it related to the marov property. We're going to understand this idea of expanding the state space to the entire path or to just whatever we would like to define it
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