Showing 2025 · math.PRShow all
2 papers · 2 filters
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-…
math.PR2025
On a Stationarity Theory for Stochastic Volterra Integral Equations with Affine Drift
Emmanuel Gnabeyeu, Gilles Pagès
This paper investigate the properties of solutions to forward Stochastic Volterra Integral Equations (SVIEs for short) with affine drift, specifically their stationarity, both over…