An exponential functional of random walks

DOI10.1239/JAP/1053003553zbMath1028.60031arXiv1008.1512OpenAlexW1989289068MaRDI QIDQ4435683

Tamas Szabados, Balázs Székely

Publication date: 17 November 2003

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.1512

zbMATH Keywords

self-similarityrandom walkstrong approximationAsian optionexponential functional\(L^p\) limit

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17) (L^p)-limit theorems (60F25)

Related Items (3)

Discrete integrable systems and Pitman's transformation ⋮ Exponential functionals of integrated processes ⋮ Functional limit theorems for discounted exponential functional of random walk and discounted convergent perpetuity

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