4 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. W…