Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance

DOI10.1016/j.spa.2004.03.015zbMath1075.60020OpenAlexW1981956507MaRDI QIDQ2485795

Christoph Kühn, Claudia Klüppelberg

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2004.03.015

zbMATH Keywords

ArbitrageFractional Brownian motionFunctional limit theoremsShot noise processAlternative stock price modelsNon-explosiveness of point processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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