Asymptotic Behavior of Solutions of Some Difference Equations Defined by Weakly Dependent Random Vectors

Hiroshi Takahashi, Shuya Kanagawa, Ken Ichi Yoshihara

研究成果: Article査読

3 被引用数 (Scopus)

抄録

In this article, we consider not only stochastic differential equations driven by the Wiener process but also by processes with stationary increments from the view points of time series analysis for mathematical finance. Corresponding to Black-Scholes type stochastic differential equations, we consider difference equations defined by weakly dependent sequence of random vectors and examine the asymptotic behavior of their solutions.

本文言語English
ページ(範囲)740-755
ページ数16
ジャーナルStochastic Analysis and Applications
33
4
DOI
出版ステータスPublished - 2015 7 4
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • 統計学、確率および不確実性
  • 応用数学

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