Mišura, Julija S.; Ralchenko, Kostiantyn; Shklyar, S. V. - In: Risks : open access journal 8 (2020) 1/11, pp. 1-29
We present general conditions for the weak convergence of a discrete-time additive scheme to a stochastic process with memory in the space D [ 0,T ]. Then we investigate the convergence of the related multiplicative scheme to a process that can be interpreted as an asset price with memory. As an...
