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. At that point, Volkov thought Anderson resembled Anastasia, but the next day, they met one another and Volkov was dismayed to find that Anderson could not or would not speak Russian with him. Anderson did not recognise him, and Volkov was unable to discern a facial resemblance to Anastasia. The following day, Volkov returned for a third time and expressed his doubts as to her identity, but would not say definitely that Anderson was not Anastasia. On his final visit the following day, 6 July 1925, Anderson correctly answered some of his questions, and recounted stories of Grand Duchess Anastasia's life before the Revolution that moved Volkov to tears.