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AndreasE · 2018 · DOI 10.1016/j.spa.2017.11.006

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Boundary behaviour of the Volterra square-root process

math.PR · 2026-06-05 · unverdicted · novelty 6.0

For regular Volterra kernels the square-root process avoids zero under a time-dependent Feller condition while rough regularly-varying kernels force an atom at zero, with the limit law still having finite negative exponential moments; equivalent martingale measures in the Volterra Heston model exist

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  • Boundary behaviour of the Volterra square-root process math.PR · 2026-06-05 · unverdicted · none · ref 26

    For regular Volterra kernels the square-root process avoids zero under a time-dependent Feller condition while rough regularly-varying kernels force an atom at zero, with the limit law still having finite negative exponential moments; equivalent martingale measures in the Volterra Heston model exist