A Discrete Itô Calculus Approach to He's Framework for Multi-Factor Discrete Markets

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dc.creatorAkahori, Jirô
dc.date2006-06-13
dc.date.accessioned2026-07-07T07:17:13Z
dc.date.available2026-07-07T07:17:13Z
dc.descriptionIn the present paper, a discrete version of Itô's formula for a class of multi-dimensional random walk is introduced and applied to the study of a discrete-time complete market model which we call He's framework. The formula unifies continuous-time and discrete-time settings and by regarding the latter as the finite difference scheme of the former, the order of convergence is obtained. The result shows that He's framework cannot be of order 1 scheme except for the one dimensional case.
dc.description15pages
dc.identifierhttps://arxiv.org/abs/math/0606292
dc.identifierhttp://arxiv.org/abs/math/0606292
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/113864
dc.subjectProbability
dc.subject91B28;60G50;65C20;60F99
dc.titleA Discrete Itô Calculus Approach to He's Framework for Multi-Factor Discrete Markets
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