2025/03/31 by Antoine Ayache, Ayache, Antoine, Julien Hamonier +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #41A58 #42C40 #60G18 #60G22 #FOS: Mathematics #Financial Risk and Volatility Modeling #Mathematical Analysis and Transform Methods #Probability (math.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2503.24136
openalex publication_date 2025/03/31 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Hermite processes are paradigmatic examples of stochastic processes which can belong to any Wiener chaos of an arbitrary order; the wellknown fractional Brownian motion belonging to the Gaussian first order Wiener chaos and the Rosenblatt process belonging to the non-Gaussian second order Wiener chaos are two particular cases of them. Except these two particular cases no simulation method for sample paths of Hermite processes is available so far. The goal of our article is to introduce a new method which potentially allows to simulate sample paths of any Hermite process and even those of any generalized Hermite process. Our starting point is the representation for the latter process as random wavelet-typeseries, obtained in our very recent paper [3]. We construct from it a "concrete" sequence of piecewise linear continuous random functions which almost surely approximate sample paths of this process for the uniform norm on any compact interval, and we provide an almost sure estimate of the approximation error. Then, for the Rosenblatt process and more importantly for the third order Hermite process, we propose algorithms allowing to implement this sequence and we illustrate them by several simulations. Python routines implementing these synthesis procedures are available upon request.