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1,548 results on '"semimartingale"'

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1. Inference for calendar effects in microstructure noise.

2. Semimartingale dynamics for a backward exchange rate process.

3. Information-based approach: Pricing of a credit risky asset in the presence of default time.

4. The Time-Dependent Symbol of a Non-homogeneous Itô Process and Corresponding Maximal Inequalities.

6. Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model.

7. A càdlàg rough path foundation for robust finance.

9. Stochastic Volterra equations with Hölder diffusion coefficients.

10. Estimation of Leverage Effect: Kernel Function and Efficiency.

12. An explosion time characterization of asset price bubbles.

13. ON THE SUM OF GAUSSIAN MARTINGALE AND AN INDEPENDENT FRACTIONAL BROWNIAN MOTION.

14. Tool Degradation Prediction Based on Semimartingale Approximation of Linear Fractional Alpha-Stable Motion and Multi-Feature Fusion.

15. Central limit theorems for discretized occupation time functionals.

16. Permutation‐based tests for discontinuities in event studies.

17. Least squares estimations for approximate fractional Vasicek model driven by a semimartingale.

18. Testing the volatility jumps based on the high frequency data.

19. SDEs with two reflecting barriers driven by optional processes with regulated trajectories.

20. Tool Degradation Prediction Based on Semimartingale Approximation of Linear Fractional Alpha-Stable Motion and Multi-Feature Fusion

21. SDEs with two reflecting barriers driven by semimartingales and processes with bounded [formula omitted]-variation.

22. A REMEDI FOR MICROSTRUCTURE NOISE.

23. Fixed‐k inference for volatility.

24. Stochastic Processes

25. Pathwise Formula for the Stochastic Integral

26. Predictable Increasing Processes

27. Girsanov Theorem

29. Portfolio optimization for an insider under partial information

30. The optimal investment strategy under the disordered return and random inflation

31. Introduction to Stochastic Calculus

33. A Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale.

34. On the support of solutions to stochastic differential equations with path-dependent coefficients.

35. ON THE RUIN PROBLEM WITH INVESTMENT WHEN THE RISKY ASSET IS A SEMIMARTINGALE.

36. Term structure modelling for multiple curves with stochastic discontinuities.

39. The optimal investment strategy under the disordered return and random inflation.

40. Time-Varying Periodicity in Intraday Volatility.

41. A martingale view of Blackwell's renewal theorem and its extensions to a general counting process.

42. On the existence of sure profits via flash strategies.

43. Dynamic risk measure for BSVIE with jumps and semimartingale issues.

44. Jump factor models in large cross‐sections.

45. Rank Tests at Jump Events.

47. Vanishing central bank intervention in stochastic impulse control.

48. On the semimartingale property of Brownian bridges on complete manifolds.

50. Occupation density estimation for noisy high-frequency data

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