On the large-time behaviour of affine Volterra processes

Antoine Jacquier; Alexandre Pannier; Konstantinos Spiliopoulos

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arXiv · 2204.05270

On the large-time behaviour of affine Volterra processes

Antoine Jacquier·Alexandre Pannier·Konstantinos Spiliopoulos

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Abstract

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 shortcoming which hinders their large-time analysis. We circumvent this issue by lifting the system to a measure-valued stochastic evolution equation introduced by Cuchiero and Teichmann~\cite{CT18}, whence we retrieve the Markov property. Leveraging on the associated generalised Feller property, we extend the Krylov-Bogoliubov theorem to this infinite-dimensional setting and thus establish an approach to the existence of invariant measures. We present concrete examples, including the rough Heston model from Mathematical Finance.

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Antoine Jacquier, Alexandre Pannier, Konstantinos Spiliopoulos. 2022-04-11. On the large-time behaviour of affine Volterra processes. https://arxiv.org/abs/2204.05270

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