A1205
Title: Price approximations and random sums
Authors: Jean Vaillancourt - HEC Montreal (Canada) [presenting]
Bruno Remillard - HEC Montreal (Canada)
Abstract: Stock price approximation models, and more generally random sums, are used to infer knowledge about processes with discontinuous limits. Many difficulties arise when using the well-known metrics introduced by Skorohod on the space D of real-valued cadlag trajectories (right continuous with left limits everywhere). The space D is a natural choice for describing phenomena exhibiting bounded jumps, hence devoid of essential singularities (and no jump at the origin). Unfortunately, many results about the limiting behavior of such renewal counting processes in the literature are erroneous. An alternative metric resolves the issue, together with new central limit theorems for sequences of D-valued martingales.
