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 sought permission to visit Anna Anderson, who asserted she was his great-niece and Grand Duchess Anastasia Nikolaevna's niece. Anderson was hospitalized at St. Mary's Hospital in Berlin due to a tuberculosis infection affecting her arm. Upon Volkov's arrival on July 3, 1925, he encountered Anderson during a hospital stroll.