A. N. Chuprunov, O. V. Rusakov, “Convergence for step line processes under summation of random indicators and models of market pricing”, Lobachevskii J. Math., 2003, Volume 12,Pages <nobr>11

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

A. N. Chuprunov^a, O. V. Rusakov^b

^a N. G. Chebotarev Research Institute of Mathematics and Mechanics, Kazan State University
^b St. Petersburg State University, Department of Mathematics and Mechanics

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

Language: English