most citedRough volatility, path-dependent PDEs and weak rates of convergence

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math.PR2026★ 6 cited

Rough volatility, path-dependent PDEs and weak rates of convergence

Ofelia Bonesini, Antoine Jacquier, Alexandre Pannier

In the setting of stochastic Volterra equations, and in particular rough volatility models, we show that conditional expectations are the unique classical solutions to path-depende…

math.PR2025

On the large-time behaviour of affine Volterra processes

Antoine Jacquier, Alexandre Pannier, Konstantinos Spiliopoulos

We show the existence of a stationary measure for a class of multidimensional stochastic Volterra systems of affine type. These processes are in general not Markovian, a shortcomin…