Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model

DOI10.1080/07362990902844371zbMATH Open1166.60313arXivmath/0703085OpenAlexW2137029871MaRDI QIDQ3633141FDOQ3633141

Authors: Soledad Torres, Ciprian A. Tudor 

Publication date: 17 June 2009

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

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.

Full work available at URL: https://arxiv.org/abs/math/0703085

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zbMATH Keywords

random walkfractional Brownian motionRosenblatt processstock price modelbinary market model

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stochastic models in economics (91B70) Self-similar stochastic processes (60G18)

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Cited In (24)

• Weak convergence to Rosenblatt sheet
• 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
• Maximum-likelihood estimators and random walks in long memory models
• Asymptotic proportion of arbitrage points in fractional binary markets
• Parameter estimation for a discrete time model driven by fractional Poisson process
• Double Telegraph Processes and Complete Market Models
• Properties of trajectories of a multifractional Rosenblatt process
• Binary markets under transaction costs
• Approximation of the Rosenblatt sheet
• Donsker type theorem for fractional Poisson process
• Option pricing under a gamma-modulated diffusion process
• An approximation to the Rosenblatt process using martingale differences
• An optimal approximation of Rosenblatt sheet by multiple Wiener integrals
• PRICING DERIVATIVES IN HERMITE MARKETS
• Random walks and subfractional Brownian motion
• 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
• Fractal dimensions of the Rosenblatt process
• Rosenblatt Laplace motion
• Approximation of the Rosenblatt process by semimartingales

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