Functional weak convergence of stochastic integrals for moving averages and continuous-time random walks
A Søjmark, F Wunderlich - arXiv preprint arXiv:2401.13543, 2024 - arxiv.org
There is by now an extensive and well-developed theory of weak convergence for moving
averages and continuous-time random walks (CTRWs) with respect to Skorokhod's M1 and …
averages and continuous-time random walks (CTRWs) with respect to Skorokhod's M1 and …
Functional CLTs for subordinated stable L\'evy models in physics, finance, and econometrics
A Søjmark, F Wunderlich - arXiv preprint arXiv:2312.15119, 2023 - arxiv.org
We present a simple unifying treatment of a large class of applications from statistical
mechanics, econometrics, mathematical finance, and insurance mathematics, where stable …
mechanics, econometrics, mathematical finance, and insurance mathematics, where stable …
On the weak convergence of stochastic integrals on Skorokhod space: From general theory to applications within the realm of continuous-time random walks
F Wunderlich - 2024 - ora.ox.ac.uk
This thesis presents a comprehensive framework for the weak convergence of stochastic Itô
integrals on Skorokhod space, under Skorokhod's J1 and M1 topologies and based on a …
integrals on Skorokhod space, under Skorokhod's J1 and M1 topologies and based on a …