Functional limit theorems for stochastic integrals with applications to risk processes and to value processes of self-financing strategies in a multidimensional market. II

DOI10.1090/S0094-9000-2011-00829-0zbMath1232.60026MaRDI QIDQ3114550

Yu. V. Yukhnovs'Kiĭ, Yuliya S. Mishura

Publication date: 19 February 2012

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Related Items (1)

Limit behavior of the prices of a barrier option in the Black–Scholes model with random drift and volatility

Cites Work

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• Option hedging for semimartingales
• Explicit form and robustness of martingale representations.
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• Functional limit theorems for stochastic integrals with applications to risk processes and to self-financing strategies in a multidimensional market. I

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