Volterra square-root process: Stationarity and regularity of the law

Abstract

The Volterra square-root process on R m + is an affine Volterra process with continuous sample paths. Under a suitable integrability condition on the resolvent of the second kind associated with the Volterra convolution kernel, we establish the existence of limiting distributions. In contrast to the classical square-root diffusion process, here the limiting distributions may depend on the initial state of the process. Our result shows that the non-uniqueness of limiting distributions is closely related to the integrability of the Volterra convolution kernel. Using an extension of the exponential-affine transformation formula we also give the construction of stationary processes associated with the limiting distributions. Finally, we prove that the timemarginals as well as the limiting distributions, when restricted to the interior of the state space R m + , are absolutely continuous with respect to the Lebesgue measure and their densities belong to a weighted Besov space of type B λ 1,∞ .