Stochastic integration for uncoupled continuous-time random walks

Enrico Scalas, Guido Germano, Mauro Politi and René L. Schilling

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Continuous-time random walks; models of tick-by-tick financial data; stochastic integration (search for similar items in EconPapers)
JEL-codes: C02 C15 (search for similar items in EconPapers)
Date: 2008-02-25
New Economics Papers: this item is included in nep-ore
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/7341/1/MPRA_paper_7341.pdf original version (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:pra:mprapa:7341

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().