The multifractal random walk as pathwise stochastic integral: construction and simulation

DOI10.1007/S10959-016-0713-5MaRDI QIDQ1745273zbMATH OpenOpenAlexFDO

Authors Soledad Torres, Ciprian A. Tudor

Publication date 20 April 2018

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10959-016-0713-5

zbMATH Keywords

Malliavin calculusscalingSkorohod integralpathwise integrationinfinitely divisible cascades

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Recommendations

• \(L^p\)-variations for multifractal fractional random walks
• Convergence of the structure function of a multifractal random walk in a mixed asymptotic setting
• Log-infinitely divisible multifractal processes
• Modelling financial time series using multifractal random walks
• Forecasting volatility with the multifractal random walk model

Cites work

• Continuous cascade models for asset returns
• Continuous-time skewed multifractal processes as a model for financial returns
• Log-infinitely divisible multifractal processes
• Multifractal Random Walks With Fractional Brownian Motion via Malliavin Calculus
• Multifractal Random Walks as Fractional Wiener Integrals
• On Non-Scale-Invariant Infinitely Divisible Cascades

Cited in

(4)

• \(L^p\)-variations for multifractal fractional random walks
• Construction of multifractal fractional random walks with Hurst index smaller than \(1/2\)
• Random walk models for multifractals
• scientific article; zbMATH DE number 1421108 (Why is no real title available?)

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