Limit theorems in financial market models
AbstractInvariance principle states that a scaled simple random walk converges to the standard Brownian motion.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 383 (2007)
Issue (Month): 1 ()
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Continuous double auction; Drift coefficient; Jump process; Cluster expansion; Dobrushin–Hryniv theory;
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