Varkâna, the name of the satrapy located on the southern and southeastern shores of the Caspian, is thought to mean "wolf-land" (c.f. Avestan vəhrkō, Sanskrit vŗka and New Persian gorg). The Greeks knew it as Hyrkania (Ὑρκανία, while in Latin and consequently Western European languages, it's spelled "Hyrcania"). Today the name survives as Gorgan, the name of the capital of Golestan province. In the Caspian branch of the Iranian languages, the city is called Wergen
Relating these diverse forms is less challenging than it might appear. To begin with, you've probably already noticed how closely-related V and W phonemes are. The letter V in Western European alphabets is descended from Classical Latin U, which was shaped like a V and functions as a W when it appears before other vowels, so the word virvs, "poison," was pronounced "wee-roos," and vniversvm as "oo-nee-wer-soom." However, in Italian and modern ecclesiastical Latin as they evolved in the Middle Ages, V came to be pronounced like English V. Within the Germanic languages, English ward is equivalent to Norse vörðr and Frankish *wardōn which became French garde and English guard.
From Frankish loanwords in the Latin languages we know that W often shifts to GW and G. Thus *wardōn became Vulgar Latin *guardāre, thence Italian guardare, Spanish guardar, Old French garder. Likewise the English warranty is equivalent to French guarantie (whence also English guarantee), war to guerre, and so on. The shift from W to GW is slight, requiring only that the back of the tongue touch the roof of the mouth, and the difference between them is blurry, as in Spanish GU, which is sometimes pronounced like English W.
In the Iranian languages, the same shift is attested with the name of Vištāspa, Zarathuštra's royal patron in the Gathas, called in the Middle Persian Zand-i Wahman Yasn "Wištāsp" and in the New Persian Šāhnāmah "Goštāsp." So, we can easily picture Varkâna becoming a transitional Middle Iranian form
*Warkan(a), which leads to Caspian Wergen and a further transitional Persian form, something like
*Gwargan, before becoming Gorgan in New Persian.
If the V->W shift - at least in the spoken languages - had already occurred or was taking place as early as the fifth century BC, then Herodotus (or his third-party sources) would have been hearing Varkâna in the form *Warkan(a). This is not unreasonable; in the fourth century BC, Old Persian inscriptions were changing in the direction of Middle Persian and it may be that the spoken language was evolving ahead of the written form.
This brings us to Hyrkania, which from an English-speaker's point of view still scarcely resembles *Warkan(a). However, that's down to applying English phonology to the word. Ὑρκανία in Greek has rather different sound values, mainly in the first syllable. First, note that the letter eta (H) is not written. In ancient Greek dialects, initial eta was often dropped. Second, the upsilon (Y) was pronounced much closer to English long U (as in "rue") than to any kind of English Y. Thus, the ancient Greek pronunciation of Hyrkania was probably more like "Oorkania," which, of course, is not too far removed from *Warkan(a).
The change from -a to -ia is seen elsewhere in Greek; the ancient Anatolian country of Lukka was known in Greek as Lykia (Lycia). I don't have sufficient knowledge to explain the elimination of the first A, but it's perhaps relevant that the initial digamma (W) before vowels was dropped altogether in many Greek dialects during the Archaic period, as Mycenaean wa-na-ka, "king" -> Homeric anax.
For comparison:
Iranian Vištāspa = Greek Hystaspes
O.P. Vidarna = Gk. Hydarnes
Sanskrit Vistasta = Gk. Hydaspes
If I'm correct, then in all these cases, the upsilon equates to Indo-Iranian V, not I. In which case, the I is dropped just like the first A in *Warkan(a) -> Hyrkania.
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