Martin Friesen

collaborators

Showing math.PRShow all

2 papers · 1 filter

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 $R_{+}$ . For regular Volterra kernels, we establish a time-dependent Feller condition that guara…

math.PR2024

Ergodicity and Law-of-large numbers for the Volterra Cox-Ingersoll-Ross process

Mohamed Ben Alaya, Martin Friesen, Jonas Kremer

We study the Volterra Volterra Cox-Ingersoll-Ross process on $R_{+}$ and its stationary version. Based on a fine asymptotic analysis of the corresponding Volterra Riccati eq…