Discrete time approximation of coalescing stochastic flows on the real line

2011/05/19 by Iryna Nishchenko, Nishchenko, Iryna
Economics, Econometrics and Finance · Mathematics · #60G46 #60H10 #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:60G46 #msc:60H10

paper · pdf · doi:10.48550/arxiv.1105.3990

14 pages

arxiv created 2011/05/19 · openalex publication_date 2011/05/19 · arxiv updated 2011/05/23 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28

Abstract

In this paper we have constructed an approximation for the Harris flow and the Arratia flow using a sequence of independent stationary Gaussian processes as a perturbation. We have established what should be the relationship between the step of approximation and smoothness of the covariance of the perturbing processes in order to have convergence of the approximating functions to the Arratia flow.

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