Motivated by recent path-breaking contributions in the theory of repeated games in continuous time, this paper presents a family of discrete-time games which provides a consistent discrete-time approximation of the continuous-time limit game. Using probabilistic arguments, we prove that...

Motivated by recent path-breaking contributions in the theory of repeated games in continuous time, this paper presents a family of discrete-time games which provides a consistent discrete-time approximation of the continuous-time limit game. Using probabilistic arguments, we prove that...

In this note we consider several goodness-of-fit tests for model specification in non- parametric regression models which are based on kernel methods. In order to circumvent the problem of choosing a bandwidth for the corresponding test statistic we propose to consider the statistics as...

Moment spaces, weak convergence, large deviations, canonical moments, range of the moment space, beta-distribution

When using an Euler discretisation to simulate a mean-reverting square root process, one runs into the problem that while the process itself is guaranteed to be nonnegative, the discretisation is not. Although an exact and efficient simulation algorithm exists for this process, at present this...

This paper considers a sequence of discrete-time random walk markets with a single risky asset, and gives conditions for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and selling the next period, with no shorting, and furthermore for...

We consider the subject of approximating tail probabilities in the general compound renewal process framework, where severity data are assumed to follow a heavy-tailed law (in that only the first moment is assumed to exist). By using the weak convergence of compound renewal processes to a-stable...

This paper publishes results on the convergence for hedging strategies in the setting of incomplete financial markets.

This paper presents results on the convergence for hedging strategies in the setting of incomplete financial markets. We examine the convergence of the so-called locally risk-minimizing strategy.(...)

We present general conditions for the weak convergence of a discrete-time additive scheme to a stochastic process with memory in the space D [ 0,T ]. Then we investigate the convergence of the related multiplicative scheme to a process that can be interpreted as an asset price with memory. As an...