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We study sufficient conditions for the convergence of value processes of self-financial strategies in the case of a d-dimensional financial market with continuous time. The conditions for the weak convergence of value processes are discussed in detail for the Black–Scholes market model. We also consider the “inverse” problem for the weak convergence of risk-minimizing strategies.

theory of probability and mathematical statistics

Functional limit theorems for stochastic integrals with applications to risk processes and to value processes of self-financing strategies in a multidimensional market. II