Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
From MaRDI portal
Publication:3633141
Abstract: In this paper, we prove a Donsker type approximation theorem for the Rosenblatt process, which is a selfsimilar stochastic process exhibiting long range dependence. By using numerical results and simulated data, we show that this approximation performs very well. We use this result to construct a binary market model driven by this process and we show that the model admits arbitrage opportunities.
Recommendations
Cites work
- A general version of the fundamental theorem of asset pricing
- A note on Wick products and the fractional Black-Scholes model
- Analysis of the rosenblatt process
- Approximation schemes associated to a differential equation governed by a Hölderian function; the case of fractional Brownian motion.
- Arbitrage with Fractional Brownian Motion
- Binary market models with memory
- Convergence of integrated processes of arbitrary Hermite rank
- Forward, backward and symmetric stochastic integration
- Fractional Brownian motion and martingale-differences
- Fractional Brownian motion, random walks and binary market models
- Integration with respect to fractal functions and stochastic calculus. I
- Long-Term Memory in Stock Market Prices
- NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
- Non-central limit theorems for non-linear functional of Gaussian fields
- OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Stochastic calculus with respect to continuous finite quadratic variation processes
- Stock market prices and long-range dependence
- Stratonovich integral and trace
- The Malliavin Calculus and Related Topics
- Tolerance to arbitrage
- Wavelet-based synthesis of the Rosenblatt process
- Wavelet-type expansion of the Rosenblatt process
- Weak convergence to fractional brownian motion and to the rosenblatt process
Cited in
(24)- Approximation of the Rosenblatt process by semimartingales
- Drift parameter estimation in fractional diffusions driven by perturbed random walks
- A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
- Weak convergence to Rosenblatt sheet
- Maximum-likelihood estimators and random walks in long memory models
- Asymptotic proportion of arbitrage points in fractional binary markets
- Double Telegraph Processes and Complete Market Models
- Parameter estimation for a discrete time model driven by fractional Poisson process
- Properties of trajectories of a multifractional Rosenblatt process
- Approximation of the Rosenblatt sheet
- Binary markets under transaction costs
- Option pricing under a gamma-modulated diffusion process
- Donsker type theorem for fractional Poisson process
- An approximation to the Rosenblatt process using martingale differences
- An optimal approximation of Rosenblatt sheet by multiple Wiener integrals
- Random walks and subfractional Brownian motion
- PRICING DERIVATIVES IN HERMITE MARKETS
- The overdamped generalized Langevin equation with Hermite noise
- A weak convergence to Hermite process by martingale differences
- On strong causal binomial approximation for stochastic processes
- The laws of large numbers associated with the linear self-attracting diffusion driven by fractional Brownian motion and applications
- A stochastic calculus for Rosenblatt processes
- Rosenblatt Laplace motion
- Fractal dimensions of the Rosenblatt process
This page was built for publication: Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3633141)
