Donsker theorem for the Rosenblatt process and a binary market model

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dc.creatorTudor, Ciprian
dc.creatorTorres, Soledad
dc.date2007-03-03
dc.date.accessioned2026-07-07T12:07:23Z
dc.date.available2026-07-07T12:07:23Z
dc.descriptionIn 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 opportunities.
dc.identifierhttps://arxiv.org/abs/math/0703085
dc.identifierhttp://arxiv.org/abs/math/0703085
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208953
dc.subjectProbability
dc.subjectTrading and Market Microstructure
dc.titleDonsker theorem for the Rosenblatt process and a binary market model
dc.typetext

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