Scaling limit of d-inverse of Brownian motion with functional drift

zbMATH Open1209.60018arXiv1006.0535MaRDI QIDQ3067604FDOQ3067604

Authors: Kouji Yano, Katsutoshi Yoshioka 

Publication date: 21 January 2011

Abstract: The d-inverse is a generalized notion of inverse of a stochastic process having a certain tendency of increasing expectations. Scaling limit of the d-inverse of Brownian motion with functional drift is studied. Except for degenerate case, the class of possible scaling limits is proved to consist of the d-inverses of Brownian motion without drift, one with explosion in finite time, and one with power drift.

Full work available at URL: https://arxiv.org/abs/1006.0535

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zbMATH Keywords

geometric Brownian motiondomain of attractionBlack-Scholes formulaoption priceBrownian motion with driftd-inverse

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Central limit and other weak theorems (60F05) Brownian motion (60J65) Financial applications of other theories (91G80)

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