In this paper, we deal with the pricing of European style options when the dynamics of the risky underlying asset are driven by a Markov-modulated jump diffusion with stochastic volatility. We investigate the Radon–Nikodym derivative for the minimal martingale measure and a partial...

In this article, the nearly nonstationary AR(1) processes, that is, Yt=[beta]Yt-1+[epsilon]t with [beta]=1-[gamma]/n and [gamma] being a fixed constant, are studied under the condition that the disturbances of the processes are a sequence of i.i.d. random variables, which is in the domain of...

In this paper, we establish some limit theorems on the combined Csorgo-Révész increments with moduli of continuity for finite dimensional Gaussian random fields under mild conditions, via estimating upper bounds of large deviation probabilities on suprema of the finite dimensional Gaussian...

In this paper, we study path properties of a d-dimensional Gaussian process with the usual Euclidean norm, via estimating upper bounds of large deviation probabilities on the suprema of the Gaussian process.