Results 271 to 280 of about 214,630 (306)

On Some Sample Path Properties of Intra-Day Futures Prices

The Review of Economics and Statistics, 1990
This paper develops a time-series model for continuous time asset prices and then uses tick-by-tick data from Treasury bill futures to develop both a definition and test for efficiency in the continuous time case. The results suggest that intra-day data on futures prices do not behave like a Markov Renewal process; rather, lagged values of futures ...
Neftci, Salih N, Policano, Andrew J
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Asymptotic properties of the sample paths of additive Lévy processes

SCIENTIA SINICA Mathematica, 2011
Summary: In this paper we study the asymptotic properties of the sample paths of the sum of finite independent subordinators. We obtain the \(\limsup\) and \(\liminf\) of the rates of growth of the process at the origin and infinity. Furthermore we deduce the uniform result on the asymptotic behavior of the process at the origin.
Shi, Haihua, Hu, Xiaoyu
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Occupation Density and Sample Path Properties

2003
0 Introduction 0.1 Gaussian (N, d)-fields 0.2 (\(N,d, \alpha\))-stable Levy sheets 0.3 Other fields 1 Occupation density of a function and the Hausdorff dimension of its level sets 1.1 Occupation density of a function 1.2 Holder continuity and Hausdorff dimension 1.A Fourier transform of multivariate measures
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Dimension properties of sample paths of self-similar processes

Acta Mathematica Sinica, 1994
The Hausdorff dimensions of the image \(X(t)\), \(t \in E \subset R^ N\), \(N \geq 1\), and the graph \(\text{Gr }X(E) = \{(t,X(t)), t \in E\}\) are found out for the random fields with independent components. The results are extended to self-similar processes and fields (also vector-valued) with stationary increments, including Brownian motion ...
Xiao, Yimin, Lin, Huonan
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Sample path properties of an explosive double autoregressive model

Econometric Reviews, 2016
ABSTRACTThis article studies sample path properties of an explosive double autoregressive (DAR) model. After suitable renormalization, it is shown that the sample path converges weakly to a geometric Brownian motion. This further strengthens our understanding of sample paths of nonstationary DAR processes.
Feng Liu, Dong Li, Xinmei Kang
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Sample Path Properties of a Class of Operator Stable Processes

Stochastic Analysis and Applications, 2007
Abstract Let X = {X(t), t ∊ ℝ+} be an operator stable Levy process on ℝ d with the exponent B, where B is a diagonal matrix. In the present paper, we consider the asymptotic behavior of the first passage time out of a sphere, and of the sojourn time in a sphere.
Yanyan Hou, Jiangang Ying
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Variance properties of sample path derivatives of parametric random variables

Operations Research Letters, 1992
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Fractal properties of the sample path of a class of semimartingales

Summary: The fractal properties of the sample path of a semimartingale are characterized in terms of Hausdorff dimensions, and the collision problems of Brownian motion with finite variation process are also investigated.
Luo, Shun Long, Zhang, Zheng Min
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Sample Path Properties of Stable Processes

Technometrics, 1982
R. Syski, J. L. Mijnheer, H. C. P. Berbee, P. J. M. Kallenberg   +3 more
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Some sample path properties of a random walk on the cube

Journal of Theoretical Probability, 1989
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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