Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
نویسندگان
چکیده
منابع مشابه
Donsker type theorem for the Rosenblatt process and a binary market model
In this paper, we prove a Donsker type approximation theorem for the Rosenblatt process, which is a selfsimilar stochastic process exhibiting long range dependence. By using numerical results and simulated data, we show that this approximation performs very well. We use this result to construct a binary market model driven by this process and we show that the model admits arbitrage opportunitie...
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ژورنال
عنوان ژورنال: Stochastic Analysis and Applications
سال: 2009
ISSN: 0736-2994,1532-9356
DOI: 10.1080/07362990902844371