In 1925, Prince Valdemar of Denmark asked Volkov to visit Anna Anderson, who claimed to be Valdemar's great-niece, Grand Duchess Anastasia Nikolaevna of Russia. Anderson was being treated at St. Mary's Hospital in Berlin for a tubercular infection of her arm. When Volkov first arrived at the hospital, on 3 July 1925, he caught a glimpse of Anderson when she went for a walk in the hospital grounds.
In 1925, Prince Valdemar of Denmark asked to meet Anna Anderson, who claimed to be his great-niece and the niece of Grand Duchess Anastasia Nikolaevna. Anderson was being treated at St. Mary's Hospital in Berlin for tuberculosis affecting her arm. Volkov first encountered her on July 3, 1925, during a hospital walk.