Randomly indexed controlled branching processes with application in finance
M. González Velasco, M. Molina Fernández, I. M. del Puerto García, N. Yanev, G. Yanev
A randomly indexed branching processes for modeling daily stock prices as an alternative to geometric Brownian processes was introduced in Epps (1996)[Stoch. Models, 12, 529-558]. That model was constructed by considering a Bienaymé-Galton-Watson (BGW) branching process subordinated with a Poisson process. The stock prices are quoted in units of minimum tick size (minimum price increment change of a trading unit) in many markets. This discreteness of the stock price can justified the use of the introduced model. The aim of this talk is to generalize the definition of the previous randomly indexed BGW. We will consider the randomly indexed controlled branching process subordinated with a general renewal process and will study its behaviour in the critical case.
Acknowledgements:
This research has been supported by the Junta de Extremadura (grant GR21050) and by grant PID2019-108211GB-I00 funded by MCIN/AEI/10.13039/501100011033, by “ERDF A way of making Europe”.
Keywords: controlled branching processes, continuous time, limit results
Scheduled
GT17 Stochastic Processes and their Applications I
June 7, 2022 12:00 PM
A24
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