Asymptotic Properties of Extrema of Compound Cox Processes and Their Applications to Some Problems of Financial Mathematics

DOI10.1137/S0040585X97978130zbMath0984.60061MaRDI QIDQ2752973

V. Yu. Korolev

Publication date: 22 October 2001

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

convergenceWiener processmaximumsumindependent summands

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (9)

Modeling high-frequency non-homogeneous order flows by compound Cox processes ⋮ Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes ⋮ Precise large deviations for sums of random variables with consistently varying tails ⋮ Product representations for random variables with Weibull distributions and their applications ⋮ A note on functional limit theorems for compound Cox processes ⋮ Statistical decomposition of volatility ⋮ On convergence of random walks generated by compound Cox processes to Lévy processes ⋮ Convergence of statistics constructed from samples with random sizes to the Linnik and Mittag-Leffler distributions and their generalizations ⋮ Max-compound Cox processes. I

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