Results 241 to 250 of about 69,680 (260)

On the quadratic variation of semi-martingales

2010
Let X be a semi-martingale. Techniques of [1] and El Karoui (in [3] and [4]) are used to study the convergence of 2∊ times the number of upcrossings of [x, x+∊] by X to its local time at x. If X is continuous and if there exists a bicontinuous version of its local time process, then off a single null set, the convergence is shown to be uniform in x ...
openaire   +1 more source

Stochastic calculus with respect to continuous finite quadratic variation processes

Stochastic and Stochastics Reports, 2000
Francesco Russo, Pierre Vallois
exaly  

On the Quadratic Variation of Two-Parameter Continuous Martingales

Annals of Probability, 1984
D Nualart
exaly  

Quadratic variation of martingales in Riesz spaces

Journal of Mathematical Analysis and Applications, 2014
Jacobus J Grobler, Coenraad C A Labuschagne, Valeria Marraffa   +2 more
exaly  

A Quadratic Variational Method in the Eidetic

Singapore International Conference on Intelligent Control and Instrumentation [Proceedings 1992], 2005
B. De Gemmis, C. Di Ruberto, N. Di Ruocco, S. Vitulano   +3 more
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On the convergence of quadratic variation for compound fractional Poisson processes

Fractional Calculus and Applied Analysis, 2012
Enrico Scalas
exaly  

Decompositions and Quadratic Variation

Gail Ivanoff, Ely Merzbach
openaire   +1 more source

Optimal trade execution: A mean quadratic variation approach

Journal of Economic Dynamics and Control, 2012
Peter A Forsyth
exaly  

Quadratic variation of the local time of a random walk

Statistics and Probability Letters, 1993
Antonia Foldes, Pal Revesz
exaly  

Quadratic variation of a càdlàg semimartingale as a.s. limit of the normalized truncated variations

Stochastics, 2019
Rafał M Łochowski
exaly