Forde, Martin; Smith, Benjamin Markovian stochastic volatility with stochastic correlation – joint calibration and consistency of SPX/VIX short-maturity smiles. (English) Zbl 1521.91358 Int. J. Theor. Appl. Finance 26, No. 2-3, Article ID 2350007, 42 p. (2023). MSC: 91G20 60F10 60G46 PDFBibTeX XMLCite \textit{M. Forde} and \textit{B. Smith}, Int. J. Theor. Appl. Finance 26, No. 2--3, Article ID 2350007, 42 p. (2023; Zbl 1521.91358) Full Text: DOI
Cai, Chunhao; Xiao, Weilin Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion. (English) Zbl 1504.65010 J. Integral Equations Appl. 33, No. 1, 1-17 (2021). MSC: 65C30 35R09 45K05 60G15 60G44 60G22 65R20 PDFBibTeX XMLCite \textit{C. Cai} and \textit{W. Xiao}, J. Integral Equations Appl. 33, No. 1, 1--17 (2021; Zbl 1504.65010) Full Text: DOI arXiv
Liu, Guangying; Zhang, Xinsheng; Zhang, Shibin Testing long memory based on a discretely observed process. (English) Zbl 1374.62059 Appl. Math., Ser. B (Engl. Ed.) 31, No. 3, 253-268 (2016). MSC: 62G10 60F05 60G22 60G48 62P05 PDFBibTeX XMLCite \textit{G. Liu} et al., Appl. Math., Ser. B (Engl. Ed.) 31, No. 3, 253--268 (2016; Zbl 1374.62059) Full Text: DOI
Shen, Guangjun; Yin, Xiuwei; Yan, Litan Approximation of the Rosenblatt sheet. (English) Zbl 1346.60022 Mediterr. J. Math. 13, No. 4, 2215-2227 (2016). MSC: 60F05 60F17 60G42 60G15 60G18 PDFBibTeX XMLCite \textit{G. Shen} et al., Mediterr. J. Math. 13, No. 4, 2215--2227 (2016; Zbl 1346.60022) Full Text: DOI
Jaisson, Thibault Market impact as anticipation of the order flow imbalance. (English) Zbl 1398.91526 Quant. Finance 15, No. 7, 1123-1135 (2015). MSC: 91G10 60G44 60G55 PDFBibTeX XMLCite \textit{T. Jaisson}, Quant. Finance 15, No. 7, 1123--1135 (2015; Zbl 1398.91526) Full Text: DOI arXiv
Peligrad, Magda; Sang, Hailin Central limit theorem for linear processes with infinite variance. (English) Zbl 1296.60062 J. Theor. Probab. 26, No. 1, 222-239 (2013). MSC: 60F05 60G10 60G42 PDFBibTeX XMLCite \textit{M. Peligrad} and \textit{H. Sang}, J. Theor. Probab. 26, No. 1, 222--239 (2013; Zbl 1296.60062) Full Text: DOI arXiv
Liu, Guangying; Wei, Zhengyuan; Zhang, Xinsheng Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps. (English) Zbl 1285.60020 J. Stat. Plann. Inference 143, No. 8, 1307-1319 (2013). MSC: 60F05 60G15 60G48 PDFBibTeX XMLCite \textit{G. Liu} et al., J. Stat. Plann. Inference 143, No. 8, 1307--1319 (2013; Zbl 1285.60020) Full Text: DOI
Dedecker, Jérôme; Merlevède, Florence; Peligrad, Magda Invariance principles for linear processes with application to isotonic regression. (English) Zbl 1284.60068 Bernoulli 17, No. 1, 88-113 (2011). MSC: 60F17 60G22 62M10 PDFBibTeX XMLCite \textit{J. Dedecker} et al., Bernoulli 17, No. 1, 88--113 (2011; Zbl 1284.60068) Full Text: DOI arXiv
Dedecker, Jérôme; Merlevède, Florence Rates of convergence in the central limit theorem for linear statistics of martingale differences. (English) Zbl 1226.60031 Stochastic Processes Appl. 121, No. 5, 1013-1043 (2011). Reviewer: Ravi Sreenivasan (Mysore) MSC: 60F05 60G42 60G10 PDFBibTeX XMLCite \textit{J. Dedecker} and \textit{F. Merlevède}, Stochastic Processes Appl. 121, No. 5, 1013--1043 (2011; Zbl 1226.60031) Full Text: DOI
Zimbidis, Alexandros A. Optimal management of a variable annuity invested in a Black-Scholes market driven by a multidimensional fractional Brownian motion. (English) Zbl 1209.93164 Stochastic Anal. Appl. 29, No. 1, 61-77 (2011). MSC: 93E20 60E15 60G44 91G10 PDFBibTeX XMLCite \textit{A. A. Zimbidis}, Stochastic Anal. Appl. 29, No. 1, 61--77 (2011; Zbl 1209.93164) Full Text: DOI
Wu, Wei Biao; Woodroofe, Michael Martingale approximations for sums of stationary processes. (English) Zbl 1057.60022 Ann. Probab. 32, No. 2, 1674-1690 (2004). Reviewer: Erich Häusler (Gießen) MSC: 60F05 60F17 60G42 60J10 PDFBibTeX XMLCite \textit{W. B. Wu} and \textit{M. Woodroofe}, Ann. Probab. 32, No. 2, 1674--1690 (2004; Zbl 1057.60022) Full Text: DOI arXiv
Mishura, Yuliya; Valkeila, Esko Martingale transforms and Girsanov theorem for long-memory Gaussian processes. (English) Zbl 1002.60030 Stat. Probab. Lett. 55, No. 4, 421-430 (2001). Reviewer: Yuhu Feng (Shanghai) MSC: 60G15 60G44 60H05 PDFBibTeX XMLCite \textit{Y. Mishura} and \textit{E. Valkeila}, Stat. Probab. Lett. 55, No. 4, 421--430 (2001; Zbl 1002.60030) Full Text: DOI