Asymptotic Behavior of Solutions of Some Difference Equations Defined by Weakly Dependent Random Vectors

DOI10.1080/07362994.2015.1038840MaRDI QIDQ3448338zbMATH OpenOpenAlexFDO

Authors Hiroshi Takahashi, Shuya Kanagawa, Ken-ichi Yoshihara

Publication date 23 October 2015

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2015.1038840

zbMATH Keywords

difference equationEuler-Maruyama schemeweakly dependent random variablesBlack-Scholes-type stochastic differential equation

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Discrete version of topics in analysis (39A12) Stability theory for difference equations (39A30) Stochastic difference equations (39A50)

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Cites work

• scientific article; zbMATH DE number 1034217 (Why is no real title available?)
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• Central Limit Theorems for dependent variables. I
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• Moment bounds for stationary mixing sequences
• Rate of strong Gaussian approximation for sums of i.i.d. multidimensional random vectors
• Split invariance principles for stationary processes
• Stationarity and geometric ergodicity of a class of nonlinear ARCH models
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Cited in

(10)

• Asymptotic behaviour of a nonlinear stochastic difference equation modelling an inefficient financial market
• Asymptotic proportionality (weak ergodicity) and conditional asymptotic equality of solutions to time-heterogeneous sublinear difference and differential equations
• Approximation of optimal prices when basic data are weakly dependent
• Asymptotic behavior of solutions of Black-Scholes type equations based on weakly dependent random variables
• A note on the asymptotics of a stochastic vector difference equation
• scientific article; zbMATH DE number 6315885 (Why is no real title available?)
• Difference equations defined by some dependent random vectors
• Random difference equations with subexponential innovations
• Optimal portfolios based on weakly dependent data
• Approximation of solutions of multi-dimensional linear stochastic differential equations defined by weakly dependent random variables

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