Convergence for step line processes under summation of random indicators and models of market pricing. (English) Zbl 1018.60034

Chuprunov, A. N.; Rusakov, O. V.

Lobachevskii J. Math. 12, 11-39 (2003).

Summary: Functional limit theorems for random step lines and random broken lines defined by sums of iid random variables with replacements are obtained and discussed. Also we obtain functional limit theorems for integrals of such random processes. We use our results to study a number of models of the financial market.

MSC:

60F17	Functional limit theorems; invariance principles
91B24	Microeconomic theory (price theory and economic markets)

Keywords:

random step lines; random broken lines; functional limit theorems for integrals; models of the financial market