A weak limit theorem for numerical approximation of Brownian semi-stationary processes

Mark Podolskij () and Nopporn Thamrongrat ()
Additional contact information
Mark Podolskij: Aarhus University - Department of Mathematics and CREATES, Postal: University of Aarhus, Ny Munkegade 118, 8000 Aarhus C, Denmark
Nopporn Thamrongrat: Heidelberg University - Department of Mathematics, Postal: Heidelberg University, Im Neuenheimer Feld 294, 69120 Heidelberg, Germany

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: In this paper we present a weak limit theorem for a numerical approximation of Brownian semi-stationary processes studied in [14]. In the original work of [14] the authors propose to use Fourier transformation to embed a given one dimensional (Levy) Brownian semi-stationary process into a two-parameter stochastic field. For the latter they use a simple iteration procedure and study the strong approximation error of the resulting numerical scheme given that the volatility process is fully observed. In this work we present the corresponding weak limit theorem for the setting, where the volatility/drift process needs to be numerically simulated. In particular, weak approximation errors for smooth test functions can be obtained from our asymptotic theory.

Keywords: Ambit fields; Brownian semi-stationary processes; numerical schemes; weak limit theorems (search for similar items in EconPapers)
JEL-codes: C10 C13 C14 (search for similar items in EconPapers)
Pages: 19
Date: 2015-11-20
New Economics Papers: this item is included in nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://repec.econ.au.dk/repec/creates/rp/15/rp15_53.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2015-53

Access Statistics for this paper

More papers in CREATES Research Papers from Department of Economics and Business Economics, Aarhus University
Bibliographic data for series maintained by ().