2 papers
math.PR2008
Scaling limits for symmetric Ito-Levy processes in random medium
Remi Rhodes, Vincent Vargas
We are concerned with scaling limits of the solutions to stochastic differential equations with stationary coefficients driven by Poisson random measures and Brownian motions. We s…
q-fin.ST2008★ 1 cited
Forecasting volatility with the multifractal random walk model
Jean Duchon, Raoul Robert, Vincent Vargas
We study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill posed problem of estimating the correlation length T of the model,…