3 papers
math.PR2026
On Path-dependent Volterra Integral Equations: Strong Well-posedness and Stochastic Numerics
Emmanuel Gnabeyeu, Gilles Pagès
The aim of this paper is to provide a comprehensive analysis of the path-dependent Stochastic Volterra Integral Equations (SVIEs), in which both the drift and the diffusion coeffic…
math.PR2026
Fake stationary rough Heston volatility: Microstructure-inspired foundations
Emmanuel Gnabeyeu, Gilles Pagès, Mathieu Rosenbaum
This paper investigates the asymptotic behavior of suitably time-modulated Hawkes processes with heavy-tailed kernels in a nearly unstable regime. We show that, under appropriate s…
math.PR2025
On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
Emmanuel Gnabeyeu, Gilles Pagès, Mathieu Rosenbaum
True Volterra equations are inherently non stationary and therefore do not admit over finite horizons. This motivates the study of the finite-…