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Showing 1-20 of 151 results

  1. A universal approach to estimate the conditional variance in semimartingale limit theorems

    The typical central limit theorems in high-frequency asymptotics for semimartingales are results on stable convergence to a mixed normal limit with...

    Mathias Vetter in Annals of the Institute of Statistical Mathematics
    Article 01 January 2021

  3. Dominating Process of a Semimartingale

    In Chap.  7 , we saw that using random time change, any continuous semimartingale can be transformed...
    Rajeeva L. Karandikar, B. V. Rao in Introduction to Stochastic Calculus
    Chapter 2018

  7. Discrete-type Approximations for Non-Markovian Optimal Stop** Problems: Part II

    In this paper, we present a Longstaff-Schwartz-type algorithm for optimal stop** time problems based on the Brownian motion filtration. The...

    Sérgio C. Bezerra, Alberto Ohashi, ... Francys de Souza in Methodology and Computing in Applied Probability
    Article 08 January 2020

  8. Detecting factors of quadratic variation in the presence of market microstructure noise

    A method of detecting latent factors of quadratic variation (QV) of Itô semimartingales from a set of discrete observations is developed when the...

    Naoto Kunitomo, Daisuke Kurisu in Japanese Journal of Statistics and Data Science
    Article Open access 04 February 2021

  9. Global jump filters and quasi-likelihood analysis for volatility

    We propose a new estimation scheme for estimation of the volatility parameters of a semimartingale with jumps based on a jump detection filter. Our...

    Haruhiko Inatsugu, Nakahiro Yoshida in Annals of the Institute of Statistical Mathematics
    Article 16 January 2021

  10. Estimation of Tempered Stable Lévy Models of Infinite Variation

    Truncated realized quadratic variations (TRQV) are among the most widely used high-frequency-based nonparametric methods to estimate the volatility...

    José E. Figueroa-López, Ruoting Gong, Yuchen Han in Methodology and Computing in Applied Probability
    Article 16 March 2022

  11. Bond Prices Under Information Asymmetry and a Short Rate with Instantaneous Feedback

    We study an information asymmetry problem in a bond market. Especially we derive bond price dynamics of traders with different levels of information....

    Prakash Chakraborty, Kiseop Lee in Methodology and Computing in Applied Probability
    Article 08 February 2022

  12. European and Asian Greeks for Exponential Lévy Processes

    In this paper we give easy-to-implement closed-form expressions for European and Asian Greeks for general L 2 -payoff functions and underlying assets...

    Anselm Hudde, Ludger Rüschendorf in Methodology and Computing in Applied Probability
    Article Open access 03 March 2023

  13. Maximum Likelihood Estimation in the Mixed Fractional Vasicek Model

    We investigate the asymptotic properties of the maximum likelihood estimator of the unknown parameters in the fractional Vasicek model driven by a...

    B. L. S. Prakasa Rao in Journal of the Indian Society for Probability and Statistics
    Article 01 January 2021

  14. Efficient Improved Estimation Method for Non-Gaussian Regression from Discrete Data

    We study a robust adaptive nonparametric estimation problem for periodic functions observed in discrete fixed time moments with non-Gaussian...
    Evgeny Pchelintsev, Serguei Pergamenshchikov in Recent Developments in Stochastic Methods and Applications
    Conference paper 2021

  15. Nonparametric Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion with Random Effects

    We discuss nonparametric estimation of the density of random effects in models governed by a stochastic differential equation driven by a mixed...

    B. L. S. Prakasa Rao in Sankhya A
    Article 25 November 2020

  16. A New Stochastic Fubini-Type Theorem

    When a stochastic process is given through an Itō integral, i.e. a stochastic integral, or a stochastic differential equation (SDE), an analytical...

    Michael Heinrich Baumann in Sankhya A
    Article 20 March 2020

  17. Diffusion Approximation of Branching Processes in Semi-Markov Environment

    We consider continuous-time Markov branching processes in semi-Markov random environment and obtain diffusion approximation results for the near...

    Nikolaos Limnios, Elena Yarovaya in Methodology and Computing in Applied Probability
    Article 22 August 2020

  18. Stochastic Convergence

    A. W. van der Vaart, Jon A. Wellner in Weak Convergence and Empirical Processes
    Chapter 2023

  19. Correcting spot power variation estimator via Edgeworth expansion

    In this paper, we propose an estimator of power spot volatility of order p through Edgeworth expansion. We provide a precise description of how to...

    Lidan He, Qiang Liu, ... Andrea Bucci in Metrika
    Article 18 December 2023

  20. SDE Driven by r.c.l.l. Semimartingales

    In this chapter, we will consider stochastic differential equations as in Sect.  7.3 where the...
    Rajeeva L. Karandikar, B. V. Rao in Introduction to Stochastic Calculus
    Chapter 2018
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