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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
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
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
Linking options:
https://www.mathnet.ru/eng/tvp335https://doi.org/10.4213/tvp335 https://www.mathnet.ru/eng/tvp/v45/i1/p182
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