Jarrow, Robert A.; Kwok, Simon S. A study on asset price bubble dynamics: explosive trend or quadratic variation? (English) Zbl 07897038 Quant. Finance 24, No. 5, 613-626 (2024). MSC: 91G30 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Li, Cheng; Sun, Saifei; Zhu, Yichen Fixed-domain posterior contraction rates for spatial Gaussian process model with nugget. (English) Zbl 07877164 J. Am. Stat. Assoc. 119, No. 546, 1336-1347 (2024). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems. (English) Zbl 07874610 Finance Stoch. 28, No. 3, 813-863 (2024). MSC: 91G15 93E20 49N10 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Biagini, Sara; Žitković, Gordan Representation of random variables as Lebesgue integrals. (English) Zbl 07874404 Bernoulli 30, No. 3, 1878-1893 (2024). MSC: 60H05 60H15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Kutoyants, Yury A. Volatility estimation of hidden Markov processes and adaptive filtration. (English) Zbl 07869148 Stochastic Processes Appl. 173, Article ID 104381, 23 p. (2024). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 60G35 62M05 62F12 93E11 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yu, Xisheng Nonparametric estimation of quadratic variation using high-frequency data. (English) Zbl 07861184 Math. Methods Appl. Sci. 47, No. 5, 3053-3078 (2024). MSC: 62G05 60H05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail Self-exciting price impact via negative resilience in stochastic order books. (English) Zbl 1537.91293 Ann. Oper. Res. 336, No. 1-2, 637-659 (2024). MSC: 91G15 93E20 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Basse-O’Connor, Andreas; Podolskij, Mark Asymptotic theory for quadratic variation of harmonizable fractional stable processes. (English) Zbl 1540.60087 Theory Probab. Math. Stat. 110, 3-12 (2024). MSC: 60G52 60F05 60F15 60G22 60G48 60H05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wang, Jixia; Sun, Lu; Miao, Yu Asymptotic behavior of weighted quadratic variation of tempered fractional Brownian motion. (English) Zbl 1537.60047 Stat. Probab. Lett. 207, Article ID 110020, 7 p. (2024). MSC: 60G22 60F05 60H05 60H07 60G15 × Cite Format Result Cite Review PDF Full Text: DOI
Armstrong, John; Ionescu, Andrei Itô stochastic differentials. (English) Zbl 1539.60064 Stochastic Processes Appl. 171, Article ID 104317, 19 p. (2024). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H05 60H10 60G48 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gui, Tao; Sun, Lin; Wang, Shihao; Zhu, Haoyu On Bott–Samelson rings for Coxeter groups. arXiv:2408.10155 Preprint, arXiv:2408.10155 [math.RA] (2024). MSC: 20F55 14D07 16S37 14M15 × Cite Format Result Cite Full Text: arXiv OA License
Hoshino, Kiyoiki On the stochastic differentiability of noncausal processes with respect to the process with quadratic variation. (English) Zbl 1540.60098 Stochastics 95, No. 8, 1446-1473 (2023). MSC: 60H05 60H07 × Cite Format Result Cite Review PDF Full Text: DOI
Hao, Ning; Niu, Yue Selena; Xiao, Han Equivariant variance estimation for multiple change-point model. (English) Zbl 07784508 Electron. J. Stat. 17, No. 2, 3811-3853 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Łochowski, Rafał Marcin BDG inequalities and their applications for model-free continuous price paths with instant enforcement. (English) Zbl 1527.91183 Mod. Stoch., Theory Appl. 10, No. 4, 425-457 (2023). MSC: 91G80 60G17 60H05 60G46 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Carmona, Rene; Leal, Laura Optimal execution with quadratic variation inventories. (English) Zbl 1520.91383 SIAM J. Financ. Math. 14, No. 3, 751-776 (2023). MSC: 91G15 62P05 91G60 60J70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hirai, Yuki Itô-Föllmer calculus in Banach spaces. I: The Itô formula. (English) Zbl 1540.60097 Electron. J. Probab. 28, Paper No. 89, 41 p. (2023). MSC: 60H05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Fresán, Javier; Sabbah, Claude; Yu, Jeng-Daw Quadratic relations between periods of connections. (English) Zbl 1518.14027 Tôhoku Math. J. (2) 75, No. 2, 175-213 (2023). Reviewer: Vladimir P. Kostov (Nice) MSC: 14F10 32G20 34M35 14F40 32C38 14D05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gamain, Julie; Tudor, Ciprian A. Exact variation and drift parameter estimation for the nonlinear fractional stochastic heat equation. (English) Zbl 1515.60234 Jpn. J. Stat. Data Sci. 6, No. 1, 381-406 (2023). MSC: 60H15 62F10 62M40 35R60 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Xuekang; Shu, Huisheng Parameter estimation for generalized Ait-Sahalia-type interest rate model. (English) Zbl 07713886 Commun. Stat., Simulation Comput. 52, No. 4, 1630-1638 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Hildebrandt, Florian; Trabs, Mathias Nonparametric calibration for stochastic reaction-diffusion equations based on discrete observations. (English) Zbl 1518.60028 Stochastic Processes Appl. 162, 171-217 (2023). MSC: 60F05 62G05 60H15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Christensen, Kim; Nielsen, Mikkel Slot; Podolskij, Mark High-dimensional estimation of quadratic variation based on penalized realized variance. (English) Zbl 07707699 Stat. Inference Stoch. Process. 26, No. 2, 331-359 (2023). MSC: 62Mxx × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hussain, Sultan; Arif, Hifsa; Noorullah, Muhammad; Pantelous, Athanasios A. Pricing American options under Azzalini Ito-McKean skew Brownian motions. (English) Zbl 07701113 Appl. Math. Comput. 451, Article ID 128040, 14 p. (2023). MSC: 91G20 60G40 60J60 91A80 91G15 × Cite Format Result Cite Review PDF Full Text: DOI
Loh, Wei-Liem; Sun, Saifei Estimating the parameters of some common Gaussian random fields with nugget under fixed-domain asymptotics. (English) Zbl 07691591 Bernoulli 29, No. 3, 2519-2543 (2023). MSC: 62Mxx 62Hxx 62Kxx × Cite Format Result Cite Review PDF Full Text: DOI Link
Fresán, Javier; Sabbah, Claude; Yu, Jeng-Daw Quadratic relations between Bessel moments. (English) Zbl 1521.32017 Algebra Number Theory 17, No. 3, 541-602 (2023). Reviewer: Noriko Yui (Kingston) MSC: 32G20 34M35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Cont, Rama; Das, Purba Quadratic variation and quadratic roughness. (English) Zbl 1512.60033 Bernoulli 29, No. 1, 496-522 (2023). Reviewer: David Prömel (Mannheim) MSC: 60H05 60J65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Yang, Licai; Qiu, Tian; Dong, Yuanyuan Buckling analysis of cylindrical shells with variable thickness subjected to non-uniform axial compression by establishing a novel quadratic perturbation technique. (English) Zbl 1537.74270 Int. J. Struct. Stab. Dyn. 22, No. 12, Article ID 2250120, 27 p. (2022). MSC: 74K25 74G60 × Cite Format Result Cite Review PDF Full Text: DOI
Zhu, Jin; Xia, Kai; Wang, Linpeng Optimal control-decision strategy for wireless networked control systems with structural variation and packet dropout. (English) Zbl 1531.93452 Optim. Control Appl. Methods 43, No. 4, 1201-1216 (2022). MSC: 93E20 93B70 93C55 93C05 × Cite Format Result Cite Review PDF Full Text: DOI
Assaad, Obayda; Gamain, Julie; Tudor, Ciprian A. Quadratic variation and drift parameter estimation for the stochastic wave equation with space-time white noise. (English) Zbl 1511.60093 Stoch. Dyn. 22, No. 7, Article ID 2240014, 25 p. (2022). MSC: 60H15 60G18 60H07 62M99 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Rong; Zheng, Bing The \(\ell_{2,p}\) regularized total variation with overlapping group sparsity prior for image restoration with impulse noise. (English) Zbl 1514.65022 Numer. Algorithms 91, No. 4, 1779-1814 (2022). MSC: 65D18 65K10 90C26 94A08 × Cite Format Result Cite Review PDF Full Text: DOI
Hernández-Hernández, Ma. Elena; Jacka, Saul D. A generalisation of the Burkholder-Davis-Gundy inequalities. (English) Zbl 1515.60119 Electron. Commun. Probab. 27, Paper No. 50, 8 p. (2022). MSC: 60G44 60G48 60E15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hadiri, Soukaina; Sghir, Aissa Some results on the generalized Brownian bridge. (English) Zbl 1499.60115 Random Oper. Stoch. Equ. 30, No. 3, 197-204 (2022). MSC: 60G15 60G17 60G18 × Cite Format Result Cite Review PDF Full Text: DOI
Kuang, Nenghui; Li, Ying Berry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-bifractional Brownian motion. (English) Zbl 07584552 Commun. Stat., Simulation Comput. 51, No. 8, 4257-4275 (2022). MSC: 60G15 60G18 60F25 × Cite Format Result Cite Review PDF Full Text: DOI
Yang, Qing-Qing; Ching, Wai-Ki; Gu, Jia-Wen; Siu, Tak-Kuen Generalized optimal liquidation problems across multiple trading venues. (English) Zbl 1513.91082 J. Ind. Manag. Optim. 18, No. 5, 3215-3231 (2022). MSC: 91G15 49L20 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Solis-García, Nancy; Flores-Muñiz, José Guadalupe; Kreinovich, Vladik; Kalashnykova, Nataliya; Kalashnikov, Viacheslav Consistent conjectural variations equilibrium for a financial model. (English) Zbl 1492.90115 J. Optim. Theory Appl. 194, No. 3, 966-987 (2022). MSC: 90C20 91A10 91B52 91G80 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Wensheng Variations of the solution to a fourth order time-fractional stochastic partial integro-differential equation. (English) Zbl 1495.35221 Stoch. Partial Differ. Equ., Anal. Comput. 10, No. 2, 582-613 (2022). MSC: 35R60 35R09 35R11 60H40 45K05 × Cite Format Result Cite Review PDF Full Text: DOI
Al-Issa, Sh. M. A study on a coupled system of quadratic Volterra-Stieltjes integral equations. (English) Zbl 1511.45004 J. Fract. Calc. Appl. 13, No. 2, 223-236 (2022). MSC: 45G15 26A33 × Cite Format Result Cite Review PDF Full Text: Link
Russo, Francesco; Vallois, Pierre Stochastic calculus via regularizations. (English) Zbl 1529.60003 Bocconi & Springer Series 11. Milano: Bocconi University Press; Cham: Springer (ISBN 978-3-031-09445-3/hbk; 978-3-031-09448-4/pbk; 978-3-031-09446-0/ebook). xxxi, 638 p. (2022). Reviewer: Jordan M. Stoyanov (Sofia) MSC: 60-02 60Hxx × Cite Format Result Cite Review PDF Full Text: DOI
Palandri, Alessandro Rank-invariance conditions for the comparison of volatility forecasts. (English) Zbl 07546424 Econom. J. 25, No. 1, 155-175 (2022). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Cont, Rama; Das, Purba Quadratic variation along refining partitions: constructions and examples. (English) Zbl 1490.60083 J. Math. Anal. Appl. 512, No. 2, Article ID 126173, 35 p. (2022). MSC: 60G17 26A45 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Cialenco, Igor; Kim, Hyun-Jung Parameter estimation for discretely sampled stochastic heat equation driven by space-only noise. (English) Zbl 1486.60075 Stochastic Processes Appl. 143, 1-30 (2022). Reviewer: Romeo Negrea (Timişoara) MSC: 60H15 60H07 62M99 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Carr, Peter; Lee, Roger; Lorig, Matthew Robust replication of volatility and hybrid derivatives on jump diffusions. (English) Zbl 1522.91267 Math. Finance 31, No. 4, 1394-1422 (2021). MSC: 91G20 60J74 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Carr, Peter; Lee, Roger; Lorig, Matthew Semi-robust replication of barrier-style claims on price and volatility. (English) Zbl 1500.91133 Appl. Math. Finance 28, No. 6, 534-559 (2021). MSC: 91G20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Dong, Gang; Wu, Boying A class of singular diffusion equations based on the convex-nonconvex variation model for noise removal. (English) Zbl 1486.94012 Bound. Value Probl. 2021, Paper No. 8, 39 p. (2021). MSC: 94A08 94A12 68U10 65K10 35K65 49J45 49N10 65D18 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Mahanthesh, B. Quadratic radiation and quadratic Boussinesq approximation on hybrid nanoliquid flow. (English) Zbl 1483.76062 Mahanthesh, B. (ed.), Mathematical fluid mechanics. Advances in convective instabilities and incompressible fluid flow. Berlin: De Gruyter. De Gruyter Ser. Appl. Math. Eng. Inf. Sci. 7, 13-53 (2021). MSC: 76T20 76M20 80A21 × Cite Format Result Cite Review PDF Full Text: DOI
Wen, Jun; Sun, Saifei; Loh, Wei-Liem Smoothness estimation of nonstationary Gaussian random fields from irregularly spaced data observed along a curve. (English) Zbl 1493.62553 Electron. J. Stat. 15, No. 2, 6071-6150 (2021). MSC: 62M30 62F12 × Cite Format Result Cite Review PDF Full Text: DOI Link
Loh, Wei-Liem; Sun, Saifei; Wen, Jun On fixed-domain asymptotics, parameter estimation and isotropic Gaussian random fields with Matérn covariance functions. (English) Zbl 1486.62254 Ann. Stat. 49, No. 6, 3127-3152 (2021). MSC: 62M40 60G15 62F12 62M09 62M30 × Cite Format Result Cite Review PDF Full Text: DOI
Han, Xiyue A Gladyshev theorem for trifractional Brownian motion and \(n\)-th order fractional Brownian motion. (English) Zbl 1481.60080 Electron. Commun. Probab. 26, Paper No. 54, 12 p. (2021). Reviewer: Weiping Li (Guanghan) MSC: 60G22 60G15 60G17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kunitomo, Naoto; Kurisu, Daisuke Detecting factors of quadratic variation in the presence of market microstructure noise. (English) Zbl 1477.62297 Jpn. J. Stat. Data Sci. 4, No. 1, 601-641 (2021). MSC: 62P05 62M07 62M10 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models. (English) Zbl 1476.91166 Finance Stoch. 25, No. 4, 757-810 (2021). MSC: 91G15 93E20 60H10 60G99 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wang, Wen Sheng Asymptotic distributions for power variation of the solution to a stochastic heat equation. (English) Zbl 1486.60083 Acta Math. Sin., Engl. Ser. 37, No. 9, 1367-1383 (2021). Reviewer: Anhui Gu (Chongqing) MSC: 60H15 60F17 60H40 60J65 60G17 60E07 35K05 35R60 × Cite Format Result Cite Review PDF Full Text: DOI
Dontchev, Asen L. Lectures on variational analysis. (English) Zbl 1490.49002 Applied Mathematical Sciences 205. Cham: Springer (ISBN 978-3-030-79910-6/hbk; 978-3-030-79911-3/ebook). xii, 219 p. (2021). Reviewer: Nicolae Cîndea (Aubière) MSC: 49-01 49J53 49N10 49N35 49J52 49J40 49N45 × Cite Format Result Cite Review PDF Full Text: DOI
Bayraktar, Erhan; Zhang, Xin; Zhou, Zhou Transport plans with domain constraints. (English) Zbl 1470.60117 Appl. Math. Optim. 84, No. 1, 1131-1158 (2021). MSC: 60G42 49N05 49Q22 60G44 60G65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hildebrandt, Florian; Trabs, Mathias Parameter estimation for SPDEs based on discrete observations in time and space. (English) Zbl 1471.62276 Electron. J. Stat. 15, No. 1, 2716-2776 (2021). MSC: 62F12 62M09 60H15 60F05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kel’manov, A. V.; Pyatkin, A. V.; Khandeev, V. I. Quadratic Euclidean 1-mean and 1-median 2-clustering problem with constraints on the size of the clusters: complexity and approximability. (English. Russian original) Zbl 1522.68654 Proc. Steklov Inst. Math. 313, Suppl. 1, S117-S124 (2021); translation from Tr. Inst. Mat. Mekh. (Ekaterinburg) 25, No. 4, 69-78 (2019). MSC: 68U05 68Q17 × Cite Format Result Cite Review PDF Full Text: DOI
Heiny, Johannes; Podolskij, Mark On estimation of quadratic variation for multivariate pure jump semimartingales. (English) Zbl 1469.60079 Stochastic Processes Appl. 138, 234-254 (2021). MSC: 60F05 60F17 62M15 62H25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Araya, Héctor; Tudor, Ciprian A. Asymptotic expansion for the quadratic variations of the solution to the heat equation with additive white noise. (English) Zbl 1461.62139 Stoch. Dyn. 21, No. 2, Article ID 2150010, 23 p. (2021). MSC: 62L12 60F05 60H15 60H40 35K05 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Zhenzhong; Zhou, Tiandao; Jin, Xinghu; Tong, Jinying Convergence of the Euler-Maruyama method for CIR model with Markovian switching. (English) Zbl 1510.65021 Math. Comput. Simul. 177, 192-210 (2020). MSC: 65C30 60H10 60J28 × Cite Format Result Cite Review PDF Full Text: DOI
Stefanova, Maria; Minevich, Olga; Baklanov, Stanislav; Petukhova, Margarita; Lupuleac, Sergey; Grigor’ev, Boris; Kokkolaras, Michael Convex optimization techniques in compliant assembly simulation. (English) Zbl 1455.74072 Optim. Eng. 21, No. 4, 1665-1690 (2020). MSC: 74P05 74M15 74S99 65K10 90C20 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Yu, Qian; Bajja, Salwa Volatility estimation of general Gaussian Ornstein-Uhlenbeck process. (English) Zbl 1460.60023 Stat. Probab. Lett. 163, Article ID 108796, 10 p. (2020). MSC: 60G15 91G80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Khandeev, Vladimir Polynomial-time approximation scheme for a problem of searching for the largest subset with the constraint on quadratic variation. (English) Zbl 07250774 Sergeyev, Yaroslav D. (ed.) et al., Numerical computations: theory and algorithms. Third international conference, NUMTA 2019, Crotone, Italy, June 15–21, 2019. Revised selected papers. Part II. Cham: Springer. Lect. Notes Comput. Sci. 11974, 400-405 (2020). MSC: 65-XX × Cite Format Result Cite Review PDF Full Text: DOI
Kel’manov, Alexander; Khamidullin, Sergey; Panasenko, Anna 2-approximation polynomial-time algorithm for a cardinality-weighted 2-partitioning problem of a sequence. (English) Zbl 07250772 Sergeyev, Yaroslav D. (ed.) et al., Numerical computations: theory and algorithms. Third international conference, NUMTA 2019, Crotone, Italy, June 15–21, 2019. Revised selected papers. Part II. Cham: Springer. Lect. Notes Comput. Sci. 11974, 386-393 (2020). MSC: 65-XX × Cite Format Result Cite Review PDF Full Text: DOI
Corradi, Valentina; Distaso, Walter; Fernandes, Marcelo Testing for jump spillovers without testing for jumps. (English) Zbl 1441.62262 J. Am. Stat. Assoc. 115, No. 531, 1214-1226 (2020). MSC: 62P05 62G10 91G70 × Cite Format Result Cite Review PDF Full Text: DOI Link
Kubilius, K. CLT for quadratic variation of Gaussian processes and its application to the estimation of the Orey index. (English) Zbl 1450.60017 Stat. Probab. Lett. 165, Article ID 108845, 9 p. (2020). MSC: 60F05 60G15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Tudor, Ciprian A.; Yoshida, Nakahiro Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion. (English) Zbl 1450.62042 Stat. Inference Stoch. Process. 23, No. 2, 435-463 (2020). Reviewer: B. L. S. Prakasa Rao (Hyderabad) MSC: 62G20 62M10 60G22 × Cite Format Result Cite Review PDF Full Text: DOI
Gairing, Jan; Imkeller, Peter; Shevchenko, Radomyra; Tudor, Ciprian Hurst index estimation in stochastic differential equations driven by fractional Brownian motion. (English) Zbl 1464.60032 J. Theor. Probab. 33, No. 3, 1691-1714 (2020). MSC: 60G15 60H05 60G18 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Tayou, Salim On the equidistribution of some Hodge loci. (English) Zbl 1465.14017 J. Reine Angew. Math. 762, 167-194 (2020). Reviewer: G. K. Sankaran (Bath) MSC: 14D07 11E20 11F99 14C30 14J28 53C56 14J42 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bajja, Salwa; Es-Sebaiy, Khalifa; Viitasaari, Lauri Volatility estimation in fractional Ornstein-Uhlenbeck models. (English) Zbl 1437.60023 Stoch. Models 36, No. 1, 94-111 (2020). MSC: 60G22 62M05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kel’manov, Alexander; Khamidullin, Sergey; Khandeev, Vladimir; Pyatkin, Artem Exact algorithms for two integer-valued problems of searching for the largest subset and longest subsequence. (English) Zbl 1431.90132 Ann. Math. Artif. Intell. 88, No. 1-3, 157-168 (2020). MSC: 90C27 68Q25 68T05 × Cite Format Result Cite Review PDF Full Text: DOI
Hsu, Yu-Sheng; Wu, Cheng-Hsun Extended Black and Scholes model under bankruptcy risk. (English) Zbl 1427.91275 J. Math. Anal. Appl. 482, No. 2, Article ID 123564, 22 p. (2020). MSC: 91G20 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Łochowski, Rafał Marcin Quadratic variation of a càdlàg semimartingale as a.s. limit of the normalized truncated variations. (English) Zbl 1492.60117 Stochastics 91, No. 4, 629-642 (2019). MSC: 60G48 60H05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Chen, Li; Wang, Jiandong Maximum principle for delayed stochastic mean-field control problem with state constraint. (English) Zbl 1485.93625 Adv. Difference Equ. 2019, Paper No. 348, 25 p. (2019). MSC: 93E20 60H10 49K45 49N10 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Kel’manov, Alexander; Khandeev, Vladimir; Pyatkin, Artem NP-hardness of some max-min clustering problems. (English) Zbl 1468.90110 Evtushenko, Yury (ed.) et al., Optimization and applications. 9th international conference, OPTIMA 2018, Petrovac, Montenegro, October 1–5, 2018. Revised selected papers. Cham: Springer. Commun. Comput. Inf. Sci. 974, 144-154 (2019). MSC: 90C27 90C60 × Cite Format Result Cite Review PDF Full Text: DOI
Veraar, Mark; Yaroslavtsev, Ivan Pointwise properties of martingales with values in Banach function spaces. (English) Zbl 1443.60043 Gozlan, Nathael (ed.) et al., High dimensional probability VIII. The Oaxaca volume. Selected papers based on the presentations at the 8th conference on high-dimensional probability, HDP VIII, Casa Matemática Oaxaca (CMO), Mexico, May 28 – June 2, 2017. Cham: Birkhäuser. Prog. Probab. 74, 321-340 (2019). MSC: 60G44 60B11 60H05 60G48 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Panasenko, Anna A PTAS for one Cardinality-Weighted 2-Clustering problem. (English) Zbl 1444.90102 Khachay, Michael (ed.) et al., Mathematical optimization theory and operations research. 18th international conference, MOTOR 2019, Ekaterinburg, Russia, July 8–12, 2019. Proceedings. Cham: Springer. Lect. Notes Comput. Sci. 11548, 581-592 (2019). MSC: 90C27 90C59 90C60 × Cite Format Result Cite Review PDF Full Text: DOI
Khalil, Z. Mahdi; Tudor, C. A. On the distribution and \(q\)-variation of the solution to the heat equation with fractional Laplacian. (English) Zbl 1447.60065 Probab. Math. Stat. 39, No. 2, 315-335 (2019). MSC: 60G15 60H05 60G18 × Cite Format Result Cite Review PDF Full Text: DOI
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. Mean-quadratic variation portfolio optimization: a desirable alternative to time-consistent mean-variance optimization? (English) Zbl 1427.91262 SIAM J. Financ. Math. 10, No. 3, 815-856 (2019). MSC: 91G10 93E20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Tudor, Ciprian A.; Yoshida, Nakahiro Asymptotic expansion for vector-valued sequences of random variables with focus on Wiener chaos. (English) Zbl 1429.60054 Stochastic Processes Appl. 129, No. 9, 3499-3526 (2019). MSC: 60H07 60F05 60G22 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Manikas, Theodoros; Papavasiliou, Anastasia Diffusion parameter estimation for the homogenized equation. (English) Zbl 1428.62376 Multiscale Model. Simul. 17, No. 2, 675-695 (2019). MSC: 62M05 60H10 74Q99 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Sheng, Weimin; Wang, Lisheng Variational properties of quadratic curvature functionals. (English) Zbl 1427.58006 Sci. China, Math. 62, No. 9, 1765-1778 (2019). Reviewer: Yong Wei (Act) MSC: 58E11 53C24 58D17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Xie, Guangheng; Jiao, Yong; Yang, Dachun Martingale Musielak-Orlicz Hardy spaces. (English) Zbl 1422.42035 Sci. China, Math. 62, No. 8, 1567-1584 (2019). MSC: 42B35 46E30 42B30 42B25 60G42 60G46 × Cite Format Result Cite Review PDF Full Text: DOI
Lin, Jimin; Lorig, Matthew On Carr and Lee’s correlation immunization strategy. (English) Zbl 1410.91458 Appl. Math. Finance 26, No. 2, 131-152 (2019). MSC: 91G20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Banaś, Józef; Zając, Tomasz On a measure of noncompactness in the space of regulated functions and its applications. (English) Zbl 1461.26003 Adv. Nonlinear Anal. 8, 1099-1110 (2019). Reviewer: Sorin-Mihai Grad (Wien) MSC: 26A45 47H08 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Xie, Guangheng; Weisz, Ferenc; Yang, Dachun; Jiao, Yong New martingale inequalities and applications to Fourier analysis. (English) Zbl 1411.60062 Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 182, 143-192 (2019). MSC: 60G42 60G46 42B25 42B35 46E30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ho, Kwok-Pun Exponential integrability of martingales. (English) Zbl 1411.60061 Quaest. Math. 42, No. 2, 201-206 (2019). MSC: 60G42 60G46 46E30 42B35 × Cite Format Result Cite Review PDF Full Text: DOI
Gao, Yiming; Liu, Fang; Yang, Xiaoping Total generalized variation restoration with non-quadratic fidelity. (English) Zbl 1448.94013 Multidimensional Syst. Signal Process. 29, No. 4, 1459-1484 (2018). MSC: 94A08 × Cite Format Result Cite Review PDF Full Text: DOI
Cichoń, Kinga; Cichoń, Mieczysław; Metwali, Mohamed M. A. On some parameters in the space of regulated functions and their applications. (English) Zbl 1449.26003 Carpathian J. Math. 34, No. 1, 17-30 (2018). MSC: 26A15 26A45 45G10 47H08 × Cite Format Result Cite Review PDF
Peng, Qidi; Zhao, Ran A general class of multifractional processes and stock price informativeness. (English) Zbl 1416.62473 Chaos Solitons Fractals 115, 248-267 (2018). MSC: 62M09 62F12 62P05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Newton, Nigel J. Nonlinear filtering and information geometry: a Hilbert manifold approach. (English) Zbl 1414.62032 Ay, Nihat (ed.) et al., Information geometry and its applications. On the occasion of Shun-ichi Amari’s 80th birthday, IGAIA IV, Liblice, Czech Republic, June 12–17, 2016. Proceedings of the 4th international conference. Cham: Springer. Springer Proc. Math. Stat. 252, 189-208 (2018). MSC: 62B10 62M20 58B25 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Tianxiao Linear quadratic control problems of stochastic Volterra integral equations. (English) Zbl 1415.93296 ESAIM, Control Optim. Calc. Var. 24, No. 4, 1849-1879 (2018). MSC: 93E20 93C15 49N10 45D05 60H10 60H20 49K45 × Cite Format Result Cite Review PDF Full Text: DOI
Chiu, Henry; Cont, Rama On pathwise quadratic variation for càdlàg functions. (English) Zbl 1406.60082 Electron. Commun. Probab. 23, Paper No. 85, 12 p. (2018). MSC: 60H05 26B35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Pratelli, Luca; Rigo, Pietro Convergence in total variation to a mixture of Gaussian laws. (English) Zbl 1404.60008 Mathematics 6, No. 6, Paper No. 99, 14 p. (2018). MSC: 60B10 60F05 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Łochowski, Rafał M.; Perkowski, Nicolas; Prömel, David J. A superhedging approach to stochastic integration. (English) Zbl 1417.60045 Stochastic Processes Appl. 128, No. 12, 4078-4103 (2018). MSC: 60H05 91G80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hu, Mingshang; Ji, Shaolin; Xue, Xiaole A global stochastic maximum principle for fully coupled forward-backward stochastic systems. (English) Zbl 1403.93197 SIAM J. Control Optim. 56, No. 6, 4309-4335 (2018). MSC: 93E20 49K45 60H10 93C15 49N10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Khalil, Marwa; Tudor, Ciprian A. Correlation structure, quadratic variations and parameter estimation for the solution to the wave equation with fractional noise. (English) Zbl 1402.60043 Electron. J. Stat. 12, No. 2, 3639-3672 (2018). MSC: 60G15 60H05 60G18 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Djellout, Hacène; Jiang, Hui Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps. (English) Zbl 1404.60038 J. Theor. Probab. 31, No. 3, 1606-1624 (2018). MSC: 60F10 62J05 60J05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Galane, Lesiba Charles; Łochowski, Rafał Marcin; Mhlanga, Farai Julius On the quadratic variation of the model-free price paths with jumps. (English) Zbl 1414.60039 Lith. Math. J. 58, No. 2, 141-156 (2018). MSC: 60H05 60G40 91G80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Nicolau, Artur Divided differences, square functions, and a law of the iterated logarithm. (English) Zbl 1408.26004 Real Anal. Exch. 43, No. 1, 155-186 (2018). Reviewer: Piotr Sworowski (Bydgoszcz) MSC: 26A24 26A27 60G46 × Cite Format Result Cite Review PDF Full Text: arXiv
Maller, Ross A.; Mason, David M. Matrix normalised stochastic compactness for a Lévy process at zero. (English) Zbl 1395.60053 Electron. J. Probab. 23, Paper No. 69, 37 p. (2018). MSC: 60G51 60F05 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Benoist, Olivier Sums of three squares and Noether-Lefschetz loci. (English) Zbl 1403.11033 Compos. Math. 154, No. 5, 1048-1065 (2018). Reviewer: Anton Shutov (Vladimir) MSC: 11E25 14P99 14D07 14M12 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yaroslavtsev, Ivan Brownian representations of cylindrical continuous local martingales. (English) Zbl 1391.60127 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 21, No. 2, Article ID 1850013, 25 p. (2018). MSC: 60H05 60G44 47A56 46E27 × Cite Format Result Cite Review PDF Full Text: DOI arXiv