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

DOI10.1080/17442509508834028zbMATH Open0886.60073OpenAlexW2002381613MaRDI QIDQ4357822FDOQ4357822

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

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zbMATH Keywords

stochastic interest ratesconvergence in lawAldous' criteriongeneralized Bessel square processes

Mathematics Subject Classification ID

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

Cited In (8)

• Ergodicity of scalar stochastic differential equations with Hölder continuous coefficients
• Title not available (Why is that?)
• Domain restrictions on interest rates implied by no arbitrage
• Long-Term Returns in Stochastic Interest Rate Models: Applications
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• Bessel bridges decomposition with varying dimension: applications to finance
• Consistent fitting of one-factor models to interest rate data.
• Long-term returns in stochastic interest rate models

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