Showing papers on "Mathematical finance published in 1988"
TL;DR: In this article, the authors obtained a rate of convergence of uniform transport processes to Brownian motion, which they applied to the Wong and Zakai approximation of stochastic integrals.
Abstract: We obtain a rate of convergence of uniform transport processes to Brownian motion, which we apply to the Wong and Zakai approximation of stochastic integrals.
16 citations
Book•
01 Aug 1988
TL;DR: In this paper, the authors review finite mathematics - systems of linear equations and matrices linear programming the mathematics of finance sets and counting probability applications of probability introduction to statistics graph theory introduction to logic.
Abstract: Preliminary material - review finite mathematics - systems of linear equations and matrices linear programming the mathematics of finance sets and counting probability applications of probability introduction to statistics graph theory introduction to logic.
4 citations
TL;DR: In this paper, a functional form for the lower Lipschitz condition for completely asymmetric stable processes with characteristic exponent less than one has been proved, and the functional form has been shown to be equivalent to the one in the present paper.
Abstract: Consider a completely asymmetric stable process with characteristic exponent less than one. J. Hawkes (1971, Z. Wahrscheinlichkeitstheor. Verw. Geb.17, 23–32) proved a result for the lower Lipschitz condition. In the present paper a functional form for this result is proved.