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

DOI10.1007/S10959-016-0713-5zbMath1391.60075OpenAlexW2521640176MaRDI QIDQ1745273

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

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

Cites Work

• Continuous cascade models for asset returns
• Log-infinitely divisible multifractal processes
• Continuous-Time Skewed Multifractal Processes as a Model for Financial Returns
• Multifractal Random Walks With Fractional Brownian Motion via Malliavin Calculus
• On Non-Scale-Invariant Infinitely Divisible Cascades
• Multifractal Random Walks as Fractional Wiener Integrals

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