Donsker theorem for the Rosenblatt process and a binary market model

Details Donsker theorem for the Rosenblatt process and a binary market model Donsker theorem for the Rosenblatt process and a binary market model

2007-03-03

arxiv.org/abs/math/0703085v1

Mathematics

Probability

Scientific paper

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 opportunities.

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