Results 231 to 240 of about 69,680 (260)

Quadratic-Variation-Based Dynamic Strategies

Management Science, 1995
The paper analyzes a family of dynamic trading strategies which do not rely on any stochastic process assumptions (aside from continuity and positivity) and in particular do not require predicting future volatilities. Derivative payoffs can still be replicated, except that this occurs at the stopping time at which the “realized cumulative squared ...
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Variational Methods and Quadratic Functional Inequalities

SIAM Journal on Mathematical Analysis, 1975
In the context of a self-adjoint generalized differential system that is equivalent to a type of linear vector Riemann–Stieltjes integral equation, certain functional inequalities are presented generalizing, in particular, the well-known Liapunov inequality $\int_a^b q^ + (t)dt > {4 / {(b - a)}}$, which is satisfied by $q^ + (t) = \frac{1}{2}[q(t) + | {
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Strong Martingales: Their Decompositions and Quadratic Variation

Journal of Theoretical Probability, 2001
The author considers a general framework of stochastic processes indexed by elements of a collection of closed subsets of a topological space. After defining a suitable form of predictability called \(^*\)-predictability, a kind of the Doob-Meyer decomposition \(X=M+V\) of a set-indexed strong submartingale \(X\) is obtained under an integrability ...
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A Geometric Variational Problem with Logarithmic-Quadratic Interaction

SIAM Journal on Mathematical Analysis
The authors consider the functional \(\mathcal{J}(\Omega )=\mathcal{P}(\Omega )+\frac{\gamma }{2}\int_{\Omega }\int_{\Omega }K(\left\vert x-y\right\vert )dxdy\), defined on the admissible class \(\mathcal{A}=\{\Omega \subset \mathbb{R}^{2}:\Omega \) is Lebesgue measurable and \(\left\vert \Omega \right\vert =m\}\), \(m>0\).
Xiaofeng Ren, Chong Wang 0025, Juncheng Wei   +2 more
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Quadratic Variation

SSRN Electronic Journal, 2020
Dilip B. Madan, King Wang
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Singular quadratic variational problems

Journal of Optimization Theory and Applications, 1983
The purpose of this paper is to show that the general theory of quadratic forms developed earlier by the author is applicable to singular variational problems as well as to nonsingular ones. In particular, this general theory is applicable to the singular variational problems associated with Legendre polynomials, associated Legendre polynomials, Jacobi
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Total variation reconstruction from quadratic measurements

Numerical Algorithms, 2016
In this paper, we consider a problem of reconstructing an image from incomplete quadratic measurements by minimizing its total variation. The problem of reconstructing an object from incomplete nonlinear acquisitions arises in many applications, such as astronomical imaging or depth reconstruction.
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Stochastic Integrals and Quadratic Variation

2002
Continuous local martingales and semimartingales; quadratic variation and covariation; existence and basic properties of the integral; integration by parts and Ito’s formula; Fisk-Stratonovich integral; approximation and uniqueness; random time-change; dependence on ...
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Quadratic variation along refining partitions: Constructions and examples

Journal of Mathematical Analysis and Applications, 2022
Rama Cont
exaly  

On Quadratic Variation of Gaussian Random Fields

Theory of Probability & Its Applications, 1979
Deo, C. M., Wong, S. F.
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