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I am modeling a sub-diffusive process where the particles follow geometric Brownian motion (GBM) with movement occurring after randomly distributed waiting times.

I have set this up as a simulation to explore different distributions of waiting times, however the process is inefficient.

My question: can trinomial trees be used to model sub-diffusive GBM? Since the path steps involve up/down movements or no change - was wondering if the waiting time can be built in by increasing the probability of no change in a specific way.

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  • $\begingroup$ probably, but a more specific description of the process would help $\endgroup$ – Mark Joshi Jun 11 '16 at 22:47

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