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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.PR2025
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…