Central Limit Theorems and Large Deviations for Additive Functionals of Reflecting Diffusion Processes

Wang, Rob J.

doi:10.48550/arxiv.1307.1574

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Introduction2

Limit Theorem Of Hedging Error1

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2016

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“…The way how to discretize X α is essential. The first convergence of (7) holds in general as transactions are more and more frequent. On the other hand, if they are too frequent, then the total amount of transaction costs exceeds the surplus (4) and the second convergence of (7) fails to hold.…”

Section: Introductionmentioning

confidence: 93%

“…In fact the function g defined in (17) is the speed measure for the corresponding diffusion. See Skorokhod [14], Papavasiliou et al [12] and Glynn and Wang [7] for more general results. We start with the following lemma.…”

Section: Limit Theorem Of Hedging Errormentioning

confidence: 99%

“…d S t (7) as κ → 0 with rate κ. As a result, the terminal wealth Π α,κ T is close to f (S T ) when κ is small as in reality.…”

Section: Introductionmentioning

confidence: 99%

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