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

MaRDI QIDQ3067604zbMATH OpenFDO

Authors Kouji Yano, Katsutoshi Yoshioka

Publication date 21 January 2011

Full work available at URL https://arxiv.org/abs/1006.0535, http://gcoe-mi.jp/english/./temp/publish/d393fa10523336e072e8a0265d494df4.pdf

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)

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.

Recommendations

• Limit theorems of Brownian additive functionals
• The rate of convergence in the functional limit theorem for increments of a Brownian motion
• On distribution of functionals of a Brownian motion stopped at the inverse range time
• scientific article; zbMATH DE number 5638045
• Inverse local times of fractional Brownian motion

This page was built for publication: Scaling limit of d-inverse of Brownian motion with functional drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3067604)