Limit theorems in financial market models

Koji Kuroda and Joshin Murai

Physica A: Statistical Mechanics and its Applications, 2007, vol. 383, issue 1, 28-34

Abstract: Invariance principle states that a scaled simple random walk converges to the standard Brownian motion.

Keywords: Continuous double auction; Drift coefficient; Jump process; Cluster expansion; Dobrushin–Hryniv theory (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:383:y:2007:i:1:p:28-34

DOI: 10.1016/j.physa.2007.04.084

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