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

Limit distributions for the discretization error of stochastic Volterra equations