Limit Theorems and Converse Comparison Theorems for Generators of BSDEs

2011 ◽  
pp. 49-56
Author(s):  
Shiqiu Zheng ◽  
Yali He ◽  
Aimin Yang ◽  
Xiaoqiang Guo ◽  
Ling Wang
Keyword(s):  
Limit Theorems ◽  
Comparison Theorems

Limit theorems and price changes in financial markets

1998 ◽  
Vol 77 (5) ◽  
pp. 1353-1356
Author(s):  
Rosario N. Mantegna, H. Eugene Stanley
Keyword(s):  
Financial Markets ◽  
Limit Theorems ◽  
Price Changes

Limit theorems for long-memory flows on Wiener chaos

Bernoulli ◽  
2020 ◽  
Vol 26 (2) ◽  
pp. 1473-1503 ◽  
Author(s):  
Shuyang Bai ◽  
Murad S. Taqqu
Keyword(s):  
Long Memory ◽  
Limit Theorems ◽  
Wiener Chaos

Solution of heat and mass transfer problems with non-linear coefficients

2019 ◽  
Vol 5 (4) ◽  
pp. 10-20
Author(s):  
Boris G. Aksenov ◽  
Yuri E. Karyakin ◽  
Svetlana V. Karyakina
Keyword(s):  
Mass Transfer ◽  
Exact Solution ◽  
Numerical Methods ◽  
Heat And Mass Transfer ◽  
Unknown Function ◽  
Comparison Theorems ◽  
Upper And Lower Bounds ◽  
Maximum Deviation ◽  
Approximate Methods ◽  
Nonmonotonic Dependence

Equations, which have nonlinear nonmonotonic dependence of one of the coefficients on an unknown function, can describe processes of heat and mass transfer. As a rule, existing approximate methods do not provide solutions with acceptable accuracy. Numerical methods do not involve obtaining an analytical expression for the unknown function and require studying the convergence of the algorithm used. The value of absolute error is uncertain. The authors propose an approximate method for solving such problems based on Westphal comparison theorems. The comparison theorems allow finding upper and lower bounds of the unknown exact solution. A special procedure developed for the stepwise improvement of these bounds provide solutions with a given accuracy. There are only a few problems for equations with nonlinear nonmonotonic coefficients for which the exact solution has been obtained. One of such problems, presented in this article, shows the efficiency of the proposed method. The results prove that the proposed method for obtaining bounds of the solution of a nonlinear nonmonotonic equation of parabolic type can be considered as a new method of the approximate analytical solution having guaranteed accuracy. In addition, the proposed here method allows calculating the maximum deviation from the unknown exact solution of the results of other approximate and numerical methods.

scholarly journals Central and Local Limit Theorems for Numbers of the Tribonacci Triangle

Mathematics ◽  
2021 ◽  
Vol 9 (8) ◽  
pp. 880
Author(s):  
Igoris Belovas
Keyword(s):  
Central Limit Theorem ◽  
Limit Theorem ◽  
Normal Distribution ◽  
Rate Of Convergence ◽  
Limit Theorems ◽  
Local Limit Theorem ◽  
Local Limit ◽  
Constructive Proof ◽  
The Central Limit Theorem ◽  
Local Limit Theorems

In this research, we continue studying limit theorems for combinatorial numbers satisfying a class of triangular arrays. Using the general results of Hwang and Bender, we obtain a constructive proof of the central limit theorem, specifying the rate of convergence to the limiting (normal) distribution, as well as a new proof of the local limit theorem for the numbers of the tribonacci triangle.

scholarly journals Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift

2021 ◽  
Vol 58 (1) ◽  
pp. 197-216 ◽  
Author(s):  
Jörn Sass ◽  
Dorothee Westphal ◽  
Ralf Wunderlich
Keyword(s):  
Stock Returns ◽  
Financial Market ◽  
Discrete Time ◽  
High Frequency ◽  
Utility Maximization ◽  
Limit Theorems ◽  
Approximate Solutions ◽  
Diffusion Approximations ◽  
Expert Opinions ◽  
Arrival Intensity

AbstractThis paper investigates a financial market where stock returns depend on an unobservable Gaussian mean reverting drift process. Information on the drift is obtained from returns and randomly arriving discrete-time expert opinions. Drift estimates are based on Kalman filter techniques. We study the asymptotic behavior of the filter for high-frequency experts with variances that grow linearly with the arrival intensity. The derived limit theorems state that the information provided by discrete-time expert opinions is asymptotically the same as that from observing a certain diffusion process. These diffusion approximations are extremely helpful for deriving simplified approximate solutions of utility maximization problems.

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