Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
We adapt the general conditions of the weak convergence for the sequence of processes with discrete time to the diffusion process towards the weak convergence for the discrete-time models of a financial market to the continuous-time diffusion model. These results generalize a classical scheme of the...
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| Format: | Article |
| Language: | English |
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AGH Univeristy of Science and Technology Press
2015-01-01
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| Series: | Opuscula Mathematica |
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| Online Access: | http://www.opuscula.agh.edu.pl/vol35/1/art/opuscula_math_3507.pdf |