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Scaling limits of processes with fast nonlinear mean reversion
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Cayé, Thomas, Herdegen, Martin and Muhle-Karbe, Johannes (2020) Scaling limits of processes with fast nonlinear mean reversion. Stochastic Processes and their Applications, 130 (4). pp. 1994-2031. doi:10.1016/j.spa.2019.06.008 ISSN 0304-4149.
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Official URL: http://doi.org/10.1016/j.spa.2019.06.008
Abstract
We derive scaling limits for integral functionals of Itô processes with fast nonlinear mean-reversion speeds. In these limits, the fast mean-reverting process is “averaged out” by integrating against its invariant measure. The convergence is uniformly in probability and, under mild integrability conditions, also in . These results are a crucial building block for the analysis of portfolio choice models with small superlinear transaction costs, carried out in the companion paper of the present study [11].
| Item Type: | Journal Article | ||||||||||||
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| Subjects: | Q Science > QA Mathematics Q Science > QC Physics |
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| Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||||||||||
| Library of Congress Subject Headings (LCSH): | Scaling laws (Statistical physics) , Functions, Entire | ||||||||||||
| Journal or Publication Title: | Stochastic Processes and their Applications | ||||||||||||
| Publisher: | Elsevier Science BV | ||||||||||||
| ISSN: | 0304-4149 | ||||||||||||
| Official Date: | April 2020 | ||||||||||||
| Dates: |
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| Volume: | 130 | ||||||||||||
| Number: | 4 | ||||||||||||
| Page Range: | pp. 1994-2031 | ||||||||||||
| DOI: | 10.1016/j.spa.2019.06.008 | ||||||||||||
| Status: | Peer Reviewed | ||||||||||||
| Publication Status: | Published | ||||||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||||||
| Date of first compliant deposit: | 18 July 2019 | ||||||||||||
| Date of first compliant Open Access: | 17 June 2020 | ||||||||||||
| RIOXX Funder/Project Grant: |
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