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math.PR2025
Fatou limits of stochastic integrals
Vasily Melnikov
The convergence of stochastic integrals is essential to stochastic analysis, especially in applications to mathematical finance, where they model the gains associated with a self-f…
math.PR2024
Limit theorems for -localized Ãmery convergence
Vasily Melnikov
Given a bounded sequence of semimartingales on a time interval , we find a sequence of convex combinations and a limiting semimartingale …