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math.PR2023
Backward stochastic difference equations on lattices with application to market equilibrium analysis
Masaaki Fukasawa, Takashi Sato, Jun Sekine
We study backward stochastic difference equations (BSΔE) driven by a d-dimensional stochastic process on a lattice whose increments have only d + 1 possible values that generates t…
math.PR2023
A limit theorem for generalized tempered stable processes and their quadratic variations with stable index tending to two
Masaaki Fukasawa, Mikio Hirokane
We study the limit of the joint distribution of a multidimensional Generalized Tempered Stable (GTS) process and its quadratic covariation process when the stable index tends to tw…