Functional limit theorems for stochastic integrals with applications to risk processes and to self-financing strategies in a multidimensional market. I
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Publication:5391429
DOI10.1090/S0094-9000-2011-00815-0zbMath1224.60061MaRDI QIDQ5391429
Yu. V. Yukhnovs'Kiĭ, Yuliya S. Mishura, Georgiy M. Shevchenko
Publication date: 6 April 2011
Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)
Financial applications of other theories (91G80) Stochastic integrals (60H05) Functional limit theorems; invariance principles (60F17)
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Functional limit theorems for stochastic integrals with applications to risk processes and to value processes of self-financing strategies in a multidimensional market. II ⋮ Convergence of the maximum probability of success in the problem of quantile hedging for a model of an asset price process with long-range dependence ⋮ Limit behavior of the prices of a barrier option in the Black–Scholes model with random drift and volatility
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