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Teoriya Veroyatnostei i ee Primeneniya, 2000, Volume 45, Issue 1, Pages 182–194
DOI: https://doi.org/10.4213/tvp335 (Mi tvp335) 		 
This article is cited in 14 scientific papers (total in 14 papers)

Short Communications

Asymptotic properties of extrema of compound Cox processes and their applications to some problems of financial mathematics

V. Yu. Korolev

M. V. Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics
Full-text PDF (702 kB) Citations (14)
DOI: https://doi.org/10.4213/tvp335
Abstract: Necessary and sufficient conditions are presented for the weak convergence of one-dimensional distributions of extrema of compound doubly stochastic Poisson processes whose jumps have zero expectation and finite variance. Convergence rate estimates are given. The obtained results are applied to the problem of prediction of stock prices.
Keywords: doubly stochastic Poisson process (Cox process), compound Cox process, maximum sums of independent random variables.
Received: 11.02.1998
English version:
Theory of Probability and its Applications, 2001, Volume 45, Issue 1, Pages 136–147
DOI: https://doi.org/10.1137/S0040585X97978130
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: V. Yu. Korolev, “Asymptotic properties of extrema of compound Cox processes and their applications to some problems of financial mathematics”, Teor. Veroyatnost. i Primenen., 45:1 (2000), 182–194; Theory Probab. Appl., 45:1 (2001), 136–147
Citation in format AMSBIB
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\paper Asymptotic properties of extrema of compound Cox processes and their applications to some problems of financial mathematics
\jour Teor. Veroyatnost. i Primenen.
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\pages 182--194
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\transl
\jour Theory Probab. Appl.
\yr 2001
\vol 45
\issue 1
\pages 136--147
\crossref{https://doi.org/10.1137/S0040585X97978130}
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  • https://www.mathnet.ru/eng/tvp335
  • https://doi.org/10.4213/tvp335
  • https://www.mathnet.ru/eng/tvp/v45/i1/p182
    • This publication is cited in the following 14 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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    Full-text PDF :200
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