A Diffusion Limit for Generalized Correlated Random Walks
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Publication:5488989
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- ARCH models as diffusion approximations
- Directionally reinforced random walks
- Limit distributions of directionally reinforced random walks
- Limit theorem on option replication cost with transaction costs
- Persistent random walks in a one-dimensional random environment
- The correlated random walk
- The general correlated random walk
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(12)- Limit Theorems and Absorption Problems for One-Dimensional Correlated Random Walks
- Conservative random walk
- Favorite sites of a persistent random walk
- From persistent random walk to the telegraph noise
- Some explicit results for correlated random walks
- A correlated random walk model for two-dimensional diffusion
- scientific article; zbMATH DE number 936413 (Why is no real title available?)
- Markov cubature rules for polynomial processes
- On a directionally reinforced random walk
- Kinetic walks for sampling
- Recombining tree approximations for optimal stopping for diffusions
- Approximating stochastic volatility by recombinant trees
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