Weak association of random variables

The Weak Convergence for Functions of Negatively Associated Random Variables

Weak law of large numbers for i.i.d. fuzzy random variables

In this paper, weak laws of large numbers for sum of independent and identically distributed fuzzy random variables are obtained.

Weak approximation of Heston model by discrete random variables

Weak Approximation of Cir Equation by Discrete Random Variables

For the CIR equation dXt = (θ − kXt) dt + σ √ Xt dBt, we propose positive weak firstand second-order approximations that use, at each step, generation of discrete (respectively twoand three-valued) random variables (Theorems 3 and 4). The equation is split into deterministic part dDt = (θ − kDt) dt, which is solved exactly, and stochastic part dSt = σ √ St dBt, which is actually approximated in...

Weak max-sum equivalence for dependent heavy-tailed random variables

This paper considers the real-valued random variables X1, . . . , Xn with corresponding distributions F1, . . . , Fn, such that X1, . . . , Xn admit some dependence structure and n(F1 + · · · + Fn) belongs to the class dominatedly varying-tailed distributions. The weak equivalence relations between the quantities P(Sn > x), P(max{X1, . . . , Xn} > x), P(max{S1, . . . , Sn} > x) and ∑n k=1 Fk(x)...