Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel

Abstract

Our study aims to specify the asymptotic error distribution in the discretization of a stochastic Volterra equation with a fractional kernel. It is well known that for a standard stochastic differential equation, the discretization error, normalized with its rate of convergence $1/\sqrt{\mathit{n}}$, converges in law to the solution of a certain linear equation. Similar to this, we show that a suitably normalized discretization error of the Volterra equation converges in law to the solution of a certain linear Volterra equation with the same fractional kernel.