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math.PR2026
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…
math.PR2025
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…
math.PR2024
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…