A Diffusion Limit for Generalized Correlated Random Walks

DOI10.1239/JAP/1143936243zbMATH Open1106.60038OpenAlexW2146648877MaRDI QIDQ5488989FDOQ5488989

Authors: Urs Gruber, Martin Schweizer 

Publication date: 25 September 2006

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1143936243

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Mathematics Subject Classification ID

Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17)

Cites Work

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• ARCH models as diffusion approximations
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• Limit theorem on option replication cost with transaction costs
• Limit distributions of directionally reinforced random walks
• The correlated random walk
• Persistent random walks in a one-dimensional random environment
• The general correlated random walk
• Directionally reinforced random walks

Cited In (12)

• Markov cubature rules for polynomial processes
• On a directionally reinforced random walk
• Limit Theorems and Absorption Problems for One-Dimensional Correlated Random Walks
• Title not available (Why is that?)
• Some explicit results for correlated random walks
• Favorite sites of a persistent random walk
• A correlated random walk model for two-dimensional diffusion
• Recombining tree approximations for optimal stopping for diffusions
• Approximating stochastic volatility by recombinant trees
• From persistent random walk to the telegraph noise
• Kinetic walks for sampling
• Conservative random walk

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