Results 1 to 10 of about 70,060 (163)
A note on contracts on quadratic variation. [PDF]
PLoS ONE, 2017 Given a Black stochastic volatility model for a future F, and a function g, we show that the price of [Formula: see text] can be represented by portfolios of put and call options. This generalizes the classical representation result for the variance swap.
Carl Lindberg
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Quadratic variation and quadratic roughness
Bernoulli, 2023 We study the concept of quadratic variation of a continuous path along a sequence of partitions and its dependence with respect to the choice of the partition sequence. We define the concept of quadratic roughness of a path along a partition sequence and show that, for Hölder-continuous paths satisfying this roughness condition, the quadratic variation
Purba Das, Rama Cont
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On Quadratic Variation of Processes with Gaussian Increments
Annals of Probability, 1975 This note extends to a broad class of stochastic processes with Gaussian increments the following theorem of R. M. Dudley (Ann. Probability 1 66-103): if $\{\pi_n\}$ is any sequence of partitions of [0, 1] with mesh $(\pi_n) = o(1/\log n)$ and if $L(\pi_n)^2$ is the quadratic variation of Brownian motion corresponding to $\pi_n$, then a.s.-$\lim_{n ...
exaly +3 more sources
Spectral characterization of the optional quadratic variation process [PDF]
Stochastic Processes and Their Applications, 1994 The authors prove some results on how to characterize the optional quadratic variation process via the periodogram of a semimartingale.
Peter Spreij
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Optimal Execution with Quadratic Variation Inventories [PDF]
SIAM Journal on Financial Mathematics, 2021 26 pages, 20 figures, 8 ...
Rene Carmona, Laura Leal
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IMPLEMENTATION OF QUADRATIC AXIAL TRIAL FUNCTIONS IN THE HIGH-FIDELITY TRANSPORT CODE PROTEUS-MOC [PDF]
EPJ Web of Conferences, 2021 PROTEUS-MOC is a pin-resolved high-fidelity transport code, in which the axial variation of angular flux is represented in terms of orthogonal polynomials.
Zhang Guangchun, Yang Won Sik
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Modern Stochastics: Theory and Applications, 2023 Shafer and Vovk introduce in their book [8] the notion of instant enforcement and instantly blockable properties. However, they do not associate these notions with any outer measure, unlike what Vovk did in the case of sets of “typical” price paths.
Rafał Marcin Łochowski
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Quadratic variation and energy [PDF]
Nagoya Mathematical Journal, 1985 It is well known that the concept of energy has played a fruitful role in potential theory and Markov processes. Cartan’s work [6] led to kernel-free potential theories of Beurling-Deny [2]. Since then many authors have worked on this, M. Fukushima [8], M. Silverstein [16], J. Bliedner [3], Berg-Forst [1], to name some.
Graversen, S. E., Rao, M.
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Frontiers in Oncology, 2022 BackgroundFibrillin-1 (FBN1) methylation risk from control to colorectal cancer (CRC), the variation regularities of FBN1 methylation, and DNA methyltransferase (DNMT) catalyzed with FBN1 methylation had not been reported yet; these were all studied in ...
Ling Lv +5 more
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Modelling, design and analysis of three controllers based on LQR formulation for a non-linear hydraulic uniaxial seismic shake table [PDF]
E3S Web of Conferences, 2019 This study presents the modelling, design and analysis of three controllers applied to the non-linear model of a hydraulic uniaxial seismic shake table. Firstly, the system’s non-linear model is constructed based on the dynamic and mathematical analysis ...
Sarmiento José Luis +1 more
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