A Diffusion Limit for Generalized Correlated Random Walks

DOI10.1239/jap/1143936243zbMath1106.60038OpenAlexW2146648877MaRDI QIDQ5488989

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

Mathematics Subject Classification ID

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

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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