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Lobachevskii Journal of Mathematics, 2003, Volume 12, Pages 11–39 (Mi ljm107)  
This article is cited in 1 scientific paper (total in 1 paper)

Convergence for step line processes under summation of random indicators and models of market pricing

A. N. Chuprunova, O. V. Rusakovb

a N. G. Chebotarev Research Institute of Mathematics and Mechanics, Kazan State University
b St. Petersburg State University, Department of Mathematics and Mechanics
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Abstract: 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 obtained functional limit theorems for integrals of such random processes. We use our results to study a number of models of the financial market.
Submitted by: D. Kh. Mushtari
Received: 12.02.2003
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Language: English
Citation: A. N. Chuprunov, O. V. Rusakov, “Convergence for step line processes under summation of random indicators and models of market pricing”, Lobachevskii J. Math., 12 (2003), 11–39
Citation in format AMSBIB
\Bibitem{ChuRus03}
\by A.~N.~Chuprunov, O.~V.~Rusakov
\paper Convergence for step line processes under summation of random indicators and models of market pricing
\jour Lobachevskii J. Math.
\yr 2003
\vol 12
\pages 11--39
\mathnet{http://mi.mathnet.ru/ljm107}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1974541}
\zmath{https://zbmath.org/?q=an:1018.60034}
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    • This publication is cited in the following 1 articles:
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