5 papers
Boundary behaviour of the Volterra square-root process
Martin Friesen, Stefan Gerhold, Kristof Wiedermann
In this work, we study the boundary behaviour of the Volterra square-root process on . For regular Volterra kernels, we establish a time-dependent Feller condition that guara…
Failure of the Markov property for stochastic Volterra equations
Martin Friesen, Stefan Gerhold, Kristof Wiedermann
Memory-driven stochastic dynamics arise naturally in many applications, and stochastic Volterra equations (SVEs) offer a flexible framework for modeling such systems. Their convolu…
Stochastic Volterra equations: failure of the time-homogeneous Markov property
Martin Friesen, Stefan Gerhold, Kristof Wiedermann
Path-dependence is a defining feature of many real-world systems, with applications ranging from population dynamics to rough volatility models and electricity spot prices. In stoc…
Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts
Martin Friesen, Stefan Gerhold, Kristof Wiedermann
We study small-time central limit theorems for stochastic Volterra integral equations with Hölder continuous coefficients and general locally square integrable Volterra kernels. We…
An SMP-Based Algorithm for Solving the Constrained Utility Maximization Problem via Deep Learning
Kristof Wiedermann
We consider the utility maximization problem under convex constraints with regard to theoretical results which allow the formulation of algorithmic solvers which make use of deep l…