Title: Ergodic properties of certain financial models
Authors: Miklos Rasonyi - Renyi Institute, Budapest (Hungary) [presenting]
Balazs Gerencser - Renyi Institute (Hungary)
Abstract: Markov chains are considered in random environments and results on their ergodic behaviour that go well beyond current literature are presented. We establish stochastic stability and the law of large numbers for functionals of these processes. Such properties are useful when analysing e.g. recursive algorithms. The results are pertinent to certain models of mathematical finance, notably to the fractional stochastic volatility model.