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Mishura, Yuliya S.; Yukhnovs’kiĭ, Yu. V.

Functional limit theorems for stochastic integrals with applications to risk processes and to capital of self-financing strategies in a multidimensional market. II. (English. Ukrainian original) Zbl 1232.60026

Theory Probab. Math. Stat. 82, 87-101 (2011); translation from Teor. Jmovirn. Mat. Stat. No. 82, 92-103.
Summary: We study sufficient conditions for the convergence of value processes of self-financial strategies in the case of a \(d\)-dimensional financial market with continuous time. The conditions for the weak convergence of value processes are discussed in detail for the Black-Scholes market model. We also consider the “inverse” problem for the weak convergence of risk-minimizing strategies.
For part I, cf. [ibid. 81, 114–127 (2009; Zbl 1224.60061); translation in Theory Probab. Math. Stat. 81, 131-146 (2010)].

Cited in 1 Document

MSC:

60F17 Functional limit theorems; invariance principles
60H05 Stochastic integrals
91B30 Risk theory, insurance (MSC2010)
91G80 Financial applications of other theories
60K10 Applications of renewal theory (reliability, demand theory, etc.)

Citations:

Zbl 1224.60061
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\textit{Y. S. Mishura} and \textit{Yu. V. Yukhnovs'kiĭ}, Theory Probab. Math. Stat. 82, 87--101 (2011; Zbl 1232.60026); translation from Teor. Jmovirn. Mat. Stat. No. 82, 92--10
Full Text: DOI

References:

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