Inhomogeneous Random Evolutions: Limit Theorems and Financial Applications

Inhomogeneous Random Evolutions: Limit Theorems and Financial Applications

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-...

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Bibliographic Details
Main Authors: Nelson Vadori, Anatoliy Swishchuk
Format: Article
Language:English
Published: MDPI AG 2019-05-01
Series:Mathematics
Subjects:
propagators
inhomogeneous random evolutions
inhomogeneous semi-Markov process
weak law of large numbers
central limit theorem
orthogonal martingale measure
regime-switching time-inhomogeneous Levy price dynamics
multi-asset model of price impact from distress selling
Online Access:https://www.mdpi.com/2227-7390/7/5/447

Internet

https://www.mdpi.com/2227-7390/7/5/447

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