Long-term returns in stochastic interest rate models: convergence in law

DOI10.1080/17442509508834028MaRDI QIDQ4357822zbMATH OpenOpenAlexFDO

Authors Griselda Deelstra, Freddy Delbaen

Publication date 4 May 1998

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://dipot.ulb.ac.be/dspace/bitstream/2013/7580/1/gd-0004.pdf

zbMATH Keywords

Aldous' criterionconvergence in lawgeneralized Bessel square processesstochastic interest rates

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60) Decision theory (91B06)

Recommendations

• scientific article; zbMATH DE number 764440
• Long-term returns in stochastic interest rate models
• Long-Term Returns in Stochastic Interest Rate Models: Applications

Cited in

(9)

• Consistent fitting of one-factor models to interest rate data.
• Ergodicity of scalar stochastic differential equations with Hölder continuous coefficients
• Long-term returns in stochastic interest rate models
• Domain restrictions on interest rates implied by no arbitrage
• scientific article; zbMATH DE number 5520769 (Why is no real title available?)
• Long-term returns in stochastic interest rate models: different convergence results
• Long-Term Returns in Stochastic Interest Rate Models: Applications
• Bessel bridges decomposition with varying dimension: applications to finance
• scientific article; zbMATH DE number 764440 (Why is no real title available?)

This page was built for publication: Long-term returns in stochastic interest rate models: convergence in law

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4357822)