Functional limit theorems for stochastic integrals with applications to risk processes and to self-financing strategies in a multidimensional market. I
Анотація
We study sufficient conditions for the weak convergence of stochastic integrals with respect to processes of bounded variation, martingales, or semimartingales. A semimartingale theorem is extended to the multidimensional case. We apply a limit procedure and pass from processes of bounded variation to risk processes. An âinverseâ problem for the weak convergence is also considered.
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