A Diffusion Limit for Generalized Correlated Random Walks
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Publication:5488989
DOI10.1239/jap/1143936243zbMath1106.60038OpenAlexW2146648877MaRDI QIDQ5488989
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
Related Items (8)
On a directionally reinforced random walk ⋮ Recombining Tree Approximations for Optimal Stopping for Diffusions ⋮ Markov cubature rules for polynomial processes ⋮ FROM PERSISTENT RANDOM WALK TO THE TELEGRAPH NOISE ⋮ Kinetic walks for sampling ⋮ Favorite sites of a persistent random walk ⋮ Approximating stochastic volatility by recombinant trees ⋮ Conservative random walk
Cites Work
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- Persistent random walks in a one-dimensional random environment
- Limit distributions of directionally reinforced random walks
- Limit theorem on option replication cost with transaction costs
- Directionally reinforced random walks
- ARCH models as diffusion approximations
- The correlated random walk
- The general correlated random walk
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