Asymptotic behavior of the martingale type integral functionals for unstable solutions to stochastic differential equations
Work
Year: 2015
Type: article
Abstract: We consider functionals of the type $\int _ {0} ^ {t} g (\xi (s)) dW (s)$, $t \ge 0$. Here $g$ is a real valued and locally square integrable function, $\xi$ is a unique strong solution of the Itô sto... more
Institution Taras Shevchenko National University of Kyiv
Cites: 15
Cited by: 7
Related to: 10
FWCI: 1.916
Citation percentile (by year/subfield): 81.43
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid