Long-term returns in stochastic interest rate models: different convergence results

DOI<401::AID-ASM334>3.0.CO;2-L 10.1002/(SICI)1099-0747(199709/12)13:3/4<401::AID-ASM334>3.0.CO;2-LzbMath0914.60021OpenAlexW2130506439MaRDI QIDQ4231247

Griselda Deelstra, Freddy Delbaen

Publication date: 14 March 1999

Full work available at URL: https://doi.org/10.1002/(sici)1099-0747(199709/12)13:3/4<401::aid-asm334>3.0.co;2-l

zbMATH Keywords

convergence in lawstochastic interest rateconvergence almost everywherelong-term return

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (5)

Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process ⋮ Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model ⋮ Long-term behavior of stochastic interest rate models with jumps and memory ⋮ Long time behaviour of stochastic interest rate models ⋮ The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process

This page was built for publication: Long-term returns in stochastic interest rate models: different convergence results