Inhomogeneous Random Evolutions: Limit Theorems and Financial Applications

被引：3
|
作者：
Vadori, Nelson [1 ]
Swishchuk, Anatoliy [1 ]
机构：
[1] Univ Calgary, Dept Math & Stat, 2500 Univ Dr NW, Calgary, AB T2N 1N4, Canada
来源：
MATHEMATICS | 2019年 / 7卷 / 05期
基金：
加拿大自然科学与工程研究理事会;
关键词：
propagators; inhomogeneous random evolutions; inhomogeneous semi-Markov process; weak law of large numbers; central limit theorem; orthogonal martingale measure; regime-switching time-inhomogeneous Levy price dynamics; multi-asset model of price impact from distress selling; LARGE NUMBERS;
D O I：
10.3390/math7050447
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
The paper is devoted to the inhomogeneous random evolutions (IHRE) and their applications in finance. We introduce and present some properties of IHRE. Then, we prove weak law of large numbers and central limit theorems for IHRE. Financial applications are given to illiquidity modeling using regime-switching time-inhomogeneous Levy price dynamics, to regime-switching Levy driven diffusion based price dynamics, and to a generalized version of the multi-asset model of price impact from distress selling, for which we retrieve and generalize their diffusion limit result for the price process.
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页数：62
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