FUNCTIONAL LIMIT THEOREMS FOR STOCHASTIC INTEGRALS WITH APPLICATIONS TO RISK PROCESSES AND TO SELF-FINANCING STRATEGIES IN A MULTIDIMENSIONAL MARKET. I

摘要

We study sufficient conditions for the weak convergence of stochastic integrals with respect to processes of bounded variation, martingales, or semimartingales. A semimartingale theorem is extended to the multidimensional case. We apply a limit procedure and pass from processes of bounded variation to risk processes. An "inverse" problem for the weak convergence is also considered.