Central limit results for jump diffusions with mean field interaction and a common factor

Stochastic Analysis and Applications

Volumn 35, Issue 5, 2017, Pages 767-802

  Budhiraja, Amarjit ^a   Kira, Elisabeti ^b   Saha, Subhamay ^c  

^a University of North Carolina at Chapel Hill   (United States)

^b UNIVERSITY OF SÃO PAULO   (Brazil)

^c INDIAN INSTITUTE OF TECHNOLOGY GUWAHATI   (India)

Author keywords

central limit theorems; common factor; fluctuation limits; Mean field interaction; multiple Wiener integrals; propagation of chaos; self excited correlated defaults; symmetric statistics; weakly interacting jump diffusions

Indexed keywords

EID: 85021199883     PISSN: 07362994     EISSN: 15329356     Source Type: Journal    
DOI: 10.1080/07362994.2017.1321489     Document Type: Article

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