Asymptotic properties of extrema of compound cox processes and their applications to some problems of financial mathematics

Theory of Probability and its Applications

Volumn 45, Issue 1, 2000, Pages 136-147

  Korolev, V Yu ^a  

^a MOSCOW STATE UNIVERSITY   (Russian Federation)

Author keywords

Compound Cox process; Doubly stochastic poisson process (Cox process); Maximum sums of independent random variables

Indexed keywords

EID: 0034747572     PISSN: 0040585X     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0040585X97978130     Document Type: Article

References (18)

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