Functional limit theorems for stochastic integrals with applications to risk processes and to value processes of self-financing strategies in a multidimensional market. II
Анотація
We study sufficient conditions for the convergence of value processes of self-financial strategies in the case of a $d$-dimensional financial market with continuous time. The conditions for the weak convergence of value processes are discussed in detail for the BlackâScholes market model. We also consider the âinverseâ problem for the weak convergence of risk-minimizing strategies.
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