Inhomogeneous Random Evolutions: Limit Theorems and Financial Applications
Inhomogeneous Random Evolutions: Limit Theorems and Financial Applications
复制标题
非齐次随机演化：极限定理和金融应用
作者：
N. Vadori;A. Swishchuk
本文致力于非齐次随机演化（IHRE）及其在金融中的应用。我们介绍并展示了 IHRE 的一些特性。然后，我们证明了IHRE的弱大数定律和中心极限定理。金融应用包括使用政权转换时间非均匀利维价格动态的非流动性建模、政权转换利维驱动的基于扩散的价格动态，以及不良销售价格影响的多资产模型的广义版本，为此我们检索并概括了价格过程的扩散限制结果。
The paper is devoted to the inhomogeneous random evolutions (IHRE) and their applications in finance. We introduce and present some properties of IHRE. Then, we prove weak law of large numbers and central limit theorems for IHRE. Financial applications are given to illiquidity modeling using regime-switching time-inhomogeneous Levy price dynamics, to regime-switching Levy driven diffusion based price dynamics, and to a generalized version of the multi-asset model of price impact from distress selling, for which we retrieve and generalize their diffusion limit result for the price process.
影响因子：
1.2
作者：
Ludger Rueschendorf;Alexander Schnurr;V. Wolf
通讯作者：
Ludger Rueschendorf;Alexander Schnurr;V. Wolf