Pietro Maria Sparago

collaborators

2 papers

math.PR2026

Note on the Weak Convergence of Hyperplane $α$ -Quantile Functionals and Their Continuity in the Skorokhod J1 Topology

Pietro Maria Sparago

The $α$ -quantile of a stochastic process $M_{t, α}$ has been introduced in Miura (Hitotsubashi J Commerce Manag 27(1):15-28, 1992), and important distributional results have been de…

math.PR2026

A Counterexample to Small-time Limit Theorems for Stochastic Processes

Pietro Maria Sparago

The standard small-time functional central limit theorem of semimartingales has been established in (Gerhold, S., Kleinert, M., Porkert, P., and Shkolnikov, M. (2015). Small time c…

Note on the Weak Convergence of Hyperplane α-Quantile Functionals and Their Continuity in the Skorokhod J1 Topology

A Counterexample to Small-time Limit Theorems for Stochastic Processes

Note on the Weak Convergence of Hyperplane $α$ -Quantile Functionals and Their Continuity in the Skorokhod J1 Topology