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Stochastic integration for uncoupled continuous-time random walks

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Author Info
Scalas, Enrico
Germano, Guido
Politi, Mauro
Schilling, Ren\'e L.

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Abstract

Continuous-time random walks are pure-jump processes with several applications in physics, but also in insurance, finance and economics. Based on heuristic considerations, a definition is given for the stochastic integral driven by continuous-time random walks. The martingale properties of the integral are investigated. Finally, it is shown how the definition can be used to easily compute the stochastic integral by means of Monte Carlo simulations.

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File URL: http://mpra.ub.uni-muenchen.de/7341/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 7341.

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Date of creation: 25 Feb 2008
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Handle: RePEc:pra:mprapa:7341

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Related research
Keywords: Continuous-time random walks models of tick-by-tick financial data stochastic integration

Find related papers by JEL classification:
C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

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This page was last updated on 2008-11-18.

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