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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 (2019) Scaling limits of processes with fast nonlinear mean reversion. Stochastic Processes and their Applications . doi:10.1016/j.spa.2019.06.008 (In Press)
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WRAP-Scaling-processes-fast-nonlinear-mean-reversion-Herdegen-2019.pdf - Accepted Version Embargoed item. Restricted access to Repository staff only until 17 June 2020. Contact author directly, specifying your specific needs. - Requires a PDF viewer. Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0. Download (812Kb) |
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 > 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: | 17 June 2019 | ||||||||||||
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| Date of first compliant deposit: | 18 July 2019 | ||||||||||||
| DOI: | 10.1016/j.spa.2019.06.008 | ||||||||||||
| Status: | Peer Reviewed | ||||||||||||
| Publication Status: | In Press | ||||||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||||||
| RIOXX Funder/Project Grant: |
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