Functional limit theorems for stochastic integrals with applications to risk processes and to self-financing strategies in a multidimensional market. I

DOI10.1090/S0094-9000-2011-00815-0zbMath1224.60061MaRDI QIDQ5391429

Yu. V. Yukhnovs'Kiĭ, Yuliya S. Mishura, Georgiy M. Shevchenko

Publication date: 6 April 2011

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

weak convergencefunctional limit theoremssemimartingalesstochastic integrals

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic integrals (60H05) Functional limit theorems; invariance principles (60F17)

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Functional limit theorems for stochastic integrals with applications to risk processes and to value processes of self-financing strategies in a multidimensional market. II ⋮ Convergence of the maximum probability of success in the problem of quantile hedging for a model of an asset price process with long-range dependence ⋮ Limit behavior of the prices of a barrier option in the Black–Scholes model with random drift and volatility

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