Results 11 to 20 of about 471,382 (283)
Estimating quadratic variation using realised volatility [PDF]
Journal of Applied Econometrics, 2002 This paper looks at some recent work on estimating quadratic variation using realised volatility (RV) - that is sums of M squared returns. When the underlying process is a semimartingale we recall the fundamental result that RV is a consistent estimator ...
Neil Shephard, Ole E. Barndorff-Nielsen
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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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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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Comptes Rendus. Mathématique, 2020 We prove a uniqueness result of the unbounded solution for a quadratic backward stochastic differential equation whose terminal condition is unbounded and whose generator $g$ may be non-Lipschitz continuous in the state variable $y$ and non-convex (non ...
Fan, Shengjun, Hu, Ying, Tang, Shanjian
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Animals, 2021 This meta-analysis aims to understand the changes in pig body weight (BW) variation from birth to market and develop prediction equations for coefficient of variation (CV) and standard deviation (SD) as a function of BW. Standard deviation is the measure
Andres F. Tolosa +7 more
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Modern Stochastics: Theory and Applications, 2015 We study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian–fractional Brownian model. In the semimartingale case, that is, where the Hurst parameter H of the fractional part satisfies $H\in (3/4,1)$,
Ehsan Azmoodeh +2 more
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The quadratic variation for mixed-fractional Brownian motion
Journal of Inequalities and Applications, 2016 Let W = λ B + ν B H ${W}=\lambda B+\nu B^{H}$ be a mixed-fractional Brownian motion with Hurst index 0 < H < 1 2 $0 ...
Han Gao, Kun He, Litan Yan
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Discrete calculus of variations for quadratic lagrangians
CoRR, 2011 We develop in this paper a new framework for discrete calculus of variations when the actions have densities involving an arbitrary discretization operator. We deduce the discrete Euler-Lagrange equations for piecewise continuous critical points of sampled actions.
Ryckelynck, Philippe, Smoch, Laurent
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Variational properties of quadratic curvature functionals [PDF]
Science China Mathematics, 2018 Accepted by SCIENCE CHINA Mathematics.
Sheng, Weimin, Wang, Lisheng
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A quadratic trigonometric B-Spline as an alternate to cubic B-spline
Alexandria Engineering Journal, 2022 The idea of the quadratic trigonometric spline (QTS) for the curve modeling approach inspired this paper using a quadratic trigonometric function presented in it.
Shamaila Samreen +2 more
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