Gutierrez-Pavón, Jonathan; Pacheco, Carlos G. Solving equations with semimartingale noise. (English) Zbl 07502695 Random Oper. Stoch. Equ. 30, No. 1, 33-38 (2022). MSC: 60K37 60H25 PDF BibTeX XML Cite \textit{J. Gutierrez-Pavón} and \textit{C. G. Pacheco}, Random Oper. Stoch. Equ. 30, No. 1, 33--38 (2022; Zbl 07502695) Full Text: DOI OpenURL
Prokaj, Vilmos; Bondici, László On the lack of semimartingale property. (English) Zbl 07485077 Stochastic Processes Appl. 146, 335-359 (2022). MSC: 60H05 60J65 60J55 PDF BibTeX XML Cite \textit{V. Prokaj} and \textit{L. Bondici}, Stochastic Processes Appl. 146, 335--359 (2022; Zbl 07485077) Full Text: DOI arXiv OpenURL
Falkowski, Adrian; Słomiński, Leszek SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation. (English) Zbl 07485072 Stochastic Processes Appl. 146, 164-186 (2022). MSC: 60H20 60G22 PDF BibTeX XML Cite \textit{A. Falkowski} and \textit{L. Słomiński}, Stochastic Processes Appl. 146, 164--186 (2022; Zbl 07485072) Full Text: DOI OpenURL
Černý, Aleš; Ruf, Johannes Simplified stochastic calculus via semimartingale representations. (English) Zbl 07478696 Electron. J. Probab. 27, Paper No. 3, 32 p. (2022). MSC: 60G07 60G44 60G48 60H05 PDF BibTeX XML Cite \textit{A. Černý} and \textit{J. Ruf}, Electron. J. Probab. 27, Paper No. 3, 32 p. (2022; Zbl 07478696) Full Text: DOI arXiv OpenURL
Backhoff-Veraguas, J.; Pammer, G. Applications of weak transport theory. (English) Zbl 07467725 Bernoulli 28, No. 1, 370-394 (2022). MSC: 49Q22 28C05 PDF BibTeX XML Cite \textit{J. Backhoff-Veraguas} and \textit{G. Pammer}, Bernoulli 28, No. 1, 370--394 (2022; Zbl 07467725) Full Text: DOI arXiv Link OpenURL
Bollerslev, Tim; Li, Jia; Liao, Zhipeng Fixed-\(k\) inference for volatility. (English) Zbl 07497760 Quant. Econ. 12, No. 4, 1053-1084 (2021). MSC: 91G30 62P05 PDF BibTeX XML Cite \textit{T. Bollerslev} et al., Quant. Econ. 12, No. 4, 1053--1084 (2021; Zbl 07497760) Full Text: DOI OpenURL
Koike, Yuta Inference for time-varying lead-lag relationships from ultra-high-frequency data. (English) Zbl 1477.62296 Jpn. J. Stat. Data Sci. 4, No. 1, 643-696 (2021). MSC: 62P05 60F05 62M10 62M09 PDF BibTeX XML Cite \textit{Y. Koike}, Jpn. J. Stat. Data Sci. 4, No. 1, 643--696 (2021; Zbl 1477.62296) Full Text: DOI OpenURL
Vetter, Mathias A universal approach to estimate the conditional variance in semimartingale limit theorems. (English) Zbl 07447210 Ann. Inst. Stat. Math. 73, No. 6, 1089-1125 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{M. Vetter}, Ann. Inst. Stat. Math. 73, No. 6, 1089--1125 (2021; Zbl 07447210) Full Text: DOI arXiv OpenURL
Jacod, Jean; Li, Jia; Liao, Zhipeng Volatility coupling. (English) Zbl 1478.60106 Ann. Stat. 49, No. 4, 1982-1998 (2021). MSC: 60F15 60G44 62G20 PDF BibTeX XML Cite \textit{J. Jacod} et al., Ann. Stat. 49, No. 4, 1982--1998 (2021; Zbl 1478.60106) Full Text: DOI Link OpenURL
Song, Shiyu Some explicit results on first exit times for a jump diffusion process involving semimartingale local time. (English) Zbl 1477.60126 J. Theor. Probab. 34, No. 4, 2346-2367 (2021). MSC: 60J76 60J60 60G55 60H30 60J55 PDF BibTeX XML Cite \textit{S. Song}, J. Theor. Probab. 34, No. 4, 2346--2367 (2021; Zbl 1477.60126) Full Text: DOI OpenURL
Bielecki, Tomasz R.; Jakubowski, Jacek; Jeanblanc, Monique; Niewęgłowski, Mariusz Semimartingales and shrinkage of filtration. (English) Zbl 1479.60084 Ann. Appl. Probab. 31, No. 3, 1376-1402 (2021). MSC: 60G44 91G40 PDF BibTeX XML Cite \textit{T. R. Bielecki} et al., Ann. Appl. Probab. 31, No. 3, 1376--1402 (2021; Zbl 1479.60084) Full Text: DOI arXiv Link OpenURL
Todorov, Viktor Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options. (English) Zbl 07419540 Stochastic Processes Appl. 142, 671-705 (2021). MSC: 60E10 60F05 60J65 PDF BibTeX XML Cite \textit{V. Todorov}, Stochastic Processes Appl. 142, 671--705 (2021; Zbl 07419540) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Ackermann} et al., Finance Stoch. 25, No. 4, 757--810 (2021; Zbl 1476.91166) Full Text: DOI arXiv OpenURL
Junca, Mauricio; Serrano, Rafael Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics. (English) Zbl 1471.91542 Math. Financ. Econ. 15, No. 4, 775-809 (2021). MSC: 91G15 91G10 60G44 PDF BibTeX XML Cite \textit{M. Junca} and \textit{R. Serrano}, Math. Financ. Econ. 15, No. 4, 775--809 (2021; Zbl 1471.91542) Full Text: DOI OpenURL
Černý, Aleš; Ruf, Johannes Pure-jump semimartingales. (English) Zbl 07394103 Bernoulli 27, No. 4, 2624-2648 (2021). MSC: 60H05 60G51 60G55 PDF BibTeX XML Cite \textit{A. Černý} and \textit{J. Ruf}, Bernoulli 27, No. 4, 2624--2648 (2021; Zbl 07394103) Full Text: DOI arXiv OpenURL
Li, Jia; Liu, Yunxiao Efficient estimation of integrated volatility functionals under general volatility dynamics. (English) Zbl 1473.62387 Econom. Theory 37, No. 4, 664-707 (2021). MSC: 62P20 62R10 62G20 60G48 PDF BibTeX XML Cite \textit{J. Li} and \textit{Y. Liu}, Econom. Theory 37, No. 4, 664--707 (2021; Zbl 1473.62387) Full Text: DOI OpenURL
Clinet, Simon; Potiron, Yoann Cointegration in high frequency data. (English) Zbl 1472.62134 Electron. J. Stat. 15, No. 1, 1263-1327 (2021). MSC: 62M10 62M07 60G48 62P05 PDF BibTeX XML Cite \textit{S. Clinet} and \textit{Y. Potiron}, Electron. J. Stat. 15, No. 1, 1263--1327 (2021; Zbl 1472.62134) Full Text: DOI arXiv OpenURL
Casini, Alessandro; Perron, Pierre Continuous record Laplace-based inference about the break date in structural change models. (English) Zbl 07376505 J. Econom. 224, No. 1, 3-21 (2021). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{A. Casini} and \textit{P. Perron}, J. Econom. 224, No. 1, 3--21 (2021; Zbl 07376505) Full Text: DOI arXiv OpenURL
Łochowski, Rafał M.; Obłój, Jan; Prömel, David J.; Siorpaes, Pietro Local times and Tanaka-Meyer formulae for càdlàg paths. (English) Zbl 1476.60094 Electron. J. Probab. 26, Paper No. 77, 29 p. (2021). MSC: 60H05 60J55 60G17 PDF BibTeX XML Cite \textit{R. M. Łochowski} et al., Electron. J. Probab. 26, Paper No. 77, 29 p. (2021; Zbl 1476.60094) Full Text: DOI arXiv OpenURL
Liu, Xianming; Han, Guangyue A Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale. (English) Zbl 1469.60189 Discrete Contin. Dyn. Syst., Ser. B 26, No. 5, 2499-2508 (2021). MSC: 60H10 34F05 PDF BibTeX XML Cite \textit{X. Liu} and \textit{G. Han}, Discrete Contin. Dyn. Syst., Ser. B 26, No. 5, 2499--2508 (2021; Zbl 1469.60189) Full Text: DOI arXiv OpenURL
Baumann, Michael Heinrich A new stochastic Fubini-type theorem. On interchanging expectations and Itō integrals. (English) Zbl 1479.60104 Sankhyā, Ser. A 83, No. 1, 408-420 (2021). Reviewer: Christos E. Kountzakis (Karlovassi) MSC: 60H05 PDF BibTeX XML Cite \textit{M. H. Baumann}, Sankhyā, Ser. A 83, No. 1, 408--420 (2021; Zbl 1479.60104) Full Text: DOI OpenURL
Strub, Moris S.; Zhou, Xun Yu Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes. (English) Zbl 1461.91307 Finance Stoch. 25, No. 2, 331-358 (2021). MSC: 91G15 91B16 PDF BibTeX XML Cite \textit{M. S. Strub} and \textit{X. Y. Zhou}, Finance Stoch. 25, No. 2, 331--358 (2021; Zbl 1461.91307) Full Text: DOI OpenURL
Albeverio, Sergio; De Vecchi, Francesco C.; Morando, Paola; Ugolini, Stefania Random transformations and invariance of semimartingales on Lie groups. (English) Zbl 1470.60145 Random Oper. Stoch. Equ. 29, No. 1, 41-65 (2021). MSC: 60H10 22E30 PDF BibTeX XML Cite \textit{S. Albeverio} et al., Random Oper. Stoch. Equ. 29, No. 1, 41--65 (2021; Zbl 1470.60145) Full Text: DOI arXiv OpenURL
Sandrić, Nikola; Valentić, Ivana; Wang, Jian Periodic homogenization of a Lévy-type process with small jumps. (English) Zbl 1462.35047 J. Evol. Equ. 21, No. 1, 771-803 (2021). MSC: 35B27 35S15 47G20 60F17 60J74 PDF BibTeX XML Cite \textit{N. Sandrić} et al., J. Evol. Equ. 21, No. 1, 771--803 (2021; Zbl 1462.35047) Full Text: DOI arXiv OpenURL
Mykland, Per A.; Zhang, Lan The observed asymptotic variance: hard edges, and a regression approach. (English) Zbl 1471.62496 J. Econom. 222, No. 1, Part B, 411-428 (2021). MSC: 62P05 60F05 62G35 PDF BibTeX XML Cite \textit{P. A. Mykland} and \textit{L. Zhang}, J. Econom. 222, No. 1, Part B, 411--428 (2021; Zbl 1471.62496) Full Text: DOI OpenURL
Sandrić, Nikola; Valentić, Ivana A CLT for degenerate diffusions with periodic coefficients, and application to homogenization of linear PDEs. (English) Zbl 1460.35022 J. Differ. Equations 282, 233-271 (2021). Reviewer: Adrian Muntean (Karlstad) MSC: 35B27 35J70 35K65 60F17 60J25 PDF BibTeX XML Cite \textit{N. Sandrić} and \textit{I. Valentić}, J. Differ. Equations 282, 233--271 (2021; Zbl 1460.35022) Full Text: DOI arXiv OpenURL
Aït-Sahalia, Yacine; Jacod, Jean From tick data to semimartingales. (English) Zbl 1476.62218 Ann. Appl. Probab. 30, No. 6, 2740-2768 (2020). MSC: 62P05 62F12 62M05 60G48 60H10 60J60 PDF BibTeX XML Cite \textit{Y. Aït-Sahalia} and \textit{J. Jacod}, Ann. Appl. Probab. 30, No. 6, 2740--2768 (2020; Zbl 1476.62218) Full Text: DOI Link OpenURL
Kong, Xinbing; Liu, Guangying; Xie, Shangyu Trading-flow assisted estimation of the jump activity index. (English) Zbl 1465.91121 Sci. China, Math. 63, No. 11, 2363-2378 (2020). MSC: 91G30 60G44 60J76 60F05 PDF BibTeX XML Cite \textit{X. Kong} et al., Sci. China, Math. 63, No. 11, 2363--2378 (2020; Zbl 1465.91121) Full Text: DOI OpenURL
Yaacoubi, Abdelhak A new family of positive recurrent semimartingale reflecting Brownian motions in an orthant. (English) Zbl 1466.60169 Random Oper. Stoch. Equ. 28, No. 3, 177-181 (2020). MSC: 60J65 60J60 60K25 34D20 PDF BibTeX XML Cite \textit{A. Yaacoubi}, Random Oper. Stoch. Equ. 28, No. 3, 177--181 (2020; Zbl 1466.60169) Full Text: DOI OpenURL
Martin, Ole; Vetter, Mathias The null hypothesis of (common) jumps in case of irregular and asynchronous observations. (English) Zbl 1454.62133 Scand. J. Stat. 47, No. 3, 711-756 (2020). MSC: 62G10 60G48 PDF BibTeX XML Cite \textit{O. Martin} and \textit{M. Vetter}, Scand. J. Stat. 47, No. 3, 711--756 (2020; Zbl 1454.62133) Full Text: DOI arXiv OpenURL
Kiiski, Matti The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales. (English) Zbl 1453.60098 Finance Stoch. 24, No. 4, 827-870 (2020). MSC: 60G44 28C05 54D30 60B05 60G05 PDF BibTeX XML Cite \textit{M. Kiiski}, Finance Stoch. 24, No. 4, 827--870 (2020; Zbl 1453.60098) Full Text: DOI arXiv OpenURL
Choulli, T.; Deng, J. Structure conditions under progressively added information. (English. Russian original) Zbl 1452.91287 Theory Probab. Appl. 65, No. 3, 418-453 (2020); translation from Teor. Veroyatn. Primen. 65, No. 3, 538-582 (2020). MSC: 91G10 91G15 60G44 PDF BibTeX XML Cite \textit{T. Choulli} and \textit{J. Deng}, Theory Probab. Appl. 65, No. 3, 418--453 (2020; Zbl 1452.91287); translation from Teor. Veroyatn. Primen. 65, No. 3, 538--582 (2020) Full Text: DOI arXiv OpenURL
Spielmann, J.; Vostrikova, L. On the ruin problem with investment when the risky asset is a semimartingale. (English. Russian original) Zbl 1459.60100 Theory Probab. Appl. 65, No. 2, 249-269 (2020); translation from Teor. Veroyatn. Primen. 65, No. 2, 312-337 (2020). MSC: 60G51 91G40 60G44 60H30 PDF BibTeX XML Cite \textit{J. Spielmann} and \textit{L. Vostrikova}, Theory Probab. Appl. 65, No. 2, 249--269 (2020; Zbl 1459.60100); translation from Teor. Veroyatn. Primen. 65, No. 2, 312--337 (2020) Full Text: DOI arXiv OpenURL
Chong, Carsten; Delerue, Thomas Normal approximation of the solution to the stochastic heat equation with Lévy noise. (English) Zbl 1459.60136 Stoch. Partial Differ. Equ., Anal. Comput. 8, No. 2, 362-401 (2020). MSC: 60H15 60G51 60H35 60H05 PDF BibTeX XML Cite \textit{C. Chong} and \textit{T. Delerue}, Stoch. Partial Differ. Equ., Anal. Comput. 8, No. 2, 362--401 (2020; Zbl 1459.60136) Full Text: DOI arXiv OpenURL
Mostovyi, Oleksii; Sîrbu, Mihai Optimal investment and consumption with labor income in incomplete markets. (English) Zbl 1447.91162 Ann. Appl. Probab. 30, No. 2, 747-787 (2020). MSC: 91G10 93E20 91B16 PDF BibTeX XML Cite \textit{O. Mostovyi} and \textit{M. Sîrbu}, Ann. Appl. Probab. 30, No. 2, 747--787 (2020; Zbl 1447.91162) Full Text: DOI arXiv Euclid OpenURL
Fonseca-Mora, Christian A. Semimartingales on duals of nuclear spaces. (English) Zbl 1445.60037 Electron. J. Probab. 25, Paper No. 36, 24 p. (2020). MSC: 60G48 60B11 60G17 60G20 PDF BibTeX XML Cite \textit{C. A. Fonseca-Mora}, Electron. J. Probab. 25, Paper No. 36, 24 p. (2020; Zbl 1445.60037) Full Text: DOI arXiv Euclid OpenURL
Mostovyi, Oleksii Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire. (English) Zbl 1443.91276 Stochastic Processes Appl. 130, No. 7, 4444-4469 (2020). MSC: 91G15 91B16 60G44 PDF BibTeX XML Cite \textit{O. Mostovyi}, Stochastic Processes Appl. 130, No. 7, 4444--4469 (2020; Zbl 1443.91276) Full Text: DOI arXiv OpenURL
Acciaio, B.; Backhoff-Veraguas, J.; Zalashko, A. Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization. (English) Zbl 1435.90012 Stochastic Processes Appl. 130, No. 5, 2918-2953 (2020). MSC: 90B06 60J65 90C15 PDF BibTeX XML Cite \textit{B. Acciaio} et al., Stochastic Processes Appl. 130, No. 5, 2918--2953 (2020; Zbl 1435.90012) Full Text: DOI arXiv Link OpenURL
Cont, Rama; Kalinin, Alexander On the support of solutions to stochastic differential equations with path-dependent coefficients. (English) Zbl 1435.60045 Stochastic Processes Appl. 130, No. 5, 2639-2674 (2020). MSC: 60H10 28C20 34K50 PDF BibTeX XML Cite \textit{R. Cont} and \textit{A. Kalinin}, Stochastic Processes Appl. 130, No. 5, 2639--2674 (2020; Zbl 1435.60045) Full Text: DOI arXiv OpenURL
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; Schmidt, Thorsten Term structure modelling for multiple curves with stochastic discontinuities. (English) Zbl 1435.91195 Finance Stoch. 24, No. 2, 465-511 (2020). MSC: 91G30 60G44 60G57 91G15 PDF BibTeX XML Cite \textit{C. Fontana} et al., Finance Stoch. 24, No. 2, 465--511 (2020; Zbl 1435.91195) Full Text: DOI arXiv OpenURL
Schnurr, Alexander The fourth characteristic of a semimartingale. (English) Zbl 1462.60102 Bernoulli 26, No. 1, 642-663 (2020). MSC: 60J25 60J76 60G48 PDF BibTeX XML Cite \textit{A. Schnurr}, Bernoulli 26, No. 1, 642--663 (2020; Zbl 1462.60102) Full Text: DOI arXiv Euclid OpenURL
Wang, Ya; Wu, Fuke; Mao, Xuerong; Zhu, Enwen Advances in the LaSalle-type theorems for stochastic functional differential equations with infinite delay. (English) Zbl 1431.34087 Discrete Contin. Dyn. Syst., Ser. B 25, No. 1, 287-300 (2020). Reviewer: Yong-Kui Chang (Xi’an) MSC: 34K50 60H10 34K25 34K20 PDF BibTeX XML Cite \textit{Y. Wang} et al., Discrete Contin. Dyn. Syst., Ser. B 25, No. 1, 287--300 (2020; Zbl 1431.34087) Full Text: DOI OpenURL
Todorov, Viktor Nonparametric spot volatility from options. (English) Zbl 1443.91301 Ann. Appl. Probab. 29, No. 6, 3590-3636 (2019). MSC: 91G20 91G10 62P05 62G05 PDF BibTeX XML Cite \textit{V. Todorov}, Ann. Appl. Probab. 29, No. 6, 3590--3636 (2019; Zbl 1443.91301) Full Text: DOI Euclid OpenURL
Keller-Ressel, Martin; Schmidt, Thorsten; Wardenga, Robert Affine processes beyond stochastic continuity. (English) Zbl 1432.60073 Ann. Appl. Probab. 29, No. 6, 3387-3437 (2019). MSC: 60J25 91G20 PDF BibTeX XML Cite \textit{M. Keller-Ressel} et al., Ann. Appl. Probab. 29, No. 6, 3387--3437 (2019; Zbl 1432.60073) Full Text: DOI arXiv Euclid OpenURL
Fadina, Tolulope; Neufeld, Ariel; Schmidt, Thorsten Affine processes under parameter uncertainty. (English) Zbl 1443.91309 Probab. Uncertain. Quant. Risk 4, Paper No. 5, 35 p. (2019). MSC: 91G30 60G44 35Q91 PDF BibTeX XML Cite \textit{T. Fadina} et al., Probab. Uncertain. Quant. Risk 4, Paper No. 5, 35 p. (2019; Zbl 1443.91309) Full Text: DOI arXiv OpenURL
Yao, Luogen; Yang, Gang; Yang, Xiangqun Mean correcting martingale measure for exponential semimartingale market models. (Chinese. English summary) Zbl 1449.60085 Acta Math. Sci., Ser. A, Chin. Ed. 39, No. 4, 932-941 (2019). MSC: 60G48 60G57 91B26 PDF BibTeX XML Cite \textit{L. Yao} et al., Acta Math. Sci., Ser. A, Chin. Ed. 39, No. 4, 932--941 (2019; Zbl 1449.60085) OpenURL
Andersen, Torben G.; Thyrsgaard, Martin; Todorov, Viktor Time-varying periodicity in intraday volatility. (English) Zbl 1428.62463 J. Am. Stat. Assoc. 114, No. 528, 1695-1707 (2019). MSC: 62P05 62M10 62G10 PDF BibTeX XML Cite \textit{T. G. Andersen} et al., J. Am. Stat. Assoc. 114, No. 528, 1695--1707 (2019; Zbl 1428.62463) Full Text: DOI Link OpenURL
Li, Jia; Todorov, Viktor; Tauchen, George Jump factor models in large cross-sections. (English) Zbl 1430.91120 Quant. Econ. 10, No. 2, 419-456 (2019). MSC: 91G30 60J74 62P05 PDF BibTeX XML Cite \textit{J. Li} et al., Quant. Econ. 10, No. 2, 419--456 (2019; Zbl 1430.91120) Full Text: DOI Link OpenURL
Shin, J. Semimartingale decomposition and heat kernel estimates of reflected stable-like processes with variable order. (English) Zbl 1480.60123 Theory Probab. Appl. 64, No. 3, 421-443 (2019) and Teor. Veroyatn. Primen. 64, No. 3, 526-551 (2019). MSC: 60G52 60J35 PDF BibTeX XML Cite \textit{J. Shin}, Theory Probab. Appl. 64, No. 3, 421--443 (2019; Zbl 1480.60123) Full Text: DOI OpenURL
Bailleul, Ismaël; Riedel, Sebastian Rough flows. (English) Zbl 1480.60151 J. Math. Soc. Japan 71, No. 3, 915-978 (2019). MSC: 60H10 60G44 34F05 PDF BibTeX XML Cite \textit{I. Bailleul} and \textit{S. Riedel}, J. Math. Soc. Japan 71, No. 3, 915--978 (2019; Zbl 1480.60151) Full Text: DOI arXiv Euclid OpenURL
Aït-Sahalia, Yacine; Xiu, Dacheng Principal component analysis of high-frequency data. (English) Zbl 1478.62150 J. Am. Stat. Assoc. 114, No. 525, 287-303 (2019). MSC: 62H25 60H30 62P05 PDF BibTeX XML Cite \textit{Y. Aït-Sahalia} and \textit{D. Xiu}, J. Am. Stat. Assoc. 114, No. 525, 287--303 (2019; Zbl 1478.62150) Full Text: DOI Link OpenURL
Koike, Yuta; Liu, Zhi Asymptotic properties of the realized skewness and related statistics. (English) Zbl 1430.62223 Ann. Inst. Stat. Math. 71, No. 4, 703-741 (2019). MSC: 62P05 60G48 62E20 60J74 PDF BibTeX XML Cite \textit{Y. Koike} and \textit{Z. Liu}, Ann. Inst. Stat. Math. 71, No. 4, 703--741 (2019; Zbl 1430.62223) Full Text: DOI arXiv OpenURL
Daley, Daryl J.; Miyazawa, Masakiyo A martingale view of Blackwell’s renewal theorem and its extensions to a general counting process. (English) Zbl 1415.60100 J. Appl. Probab. 56, No. 2, 602-623 (2019). MSC: 60K20 60J27 60K37 PDF BibTeX XML Cite \textit{D. J. Daley} and \textit{M. Miyazawa}, J. Appl. Probab. 56, No. 2, 602--623 (2019; Zbl 1415.60100) Full Text: DOI arXiv OpenURL
Fontana, Claudio; Pelger, Markus; Platen, Eckhard On the existence of sure profits via flash strategies. (English) Zbl 1422.91650 J. Appl. Probab. 56, No. 2, 384-397 (2019). MSC: 91G10 60G44 60H30 PDF BibTeX XML Cite \textit{C. Fontana} et al., J. Appl. Probab. 56, No. 2, 384--397 (2019; Zbl 1422.91650) Full Text: DOI arXiv OpenURL
Khametov, V. M.; Shelemekh, E. A. On the uniqueness of the optional decomposition of semimartingales. (English. Russian original) Zbl 1415.60042 Math. Notes 105, No. 3, 478-482 (2019); translation from Mat. Zametki 105, No. 3, 476-480 (2019). MSC: 60G48 PDF BibTeX XML Cite \textit{V. M. Khametov} and \textit{E. A. Shelemekh}, Math. Notes 105, No. 3, 478--482 (2019; Zbl 1415.60042); translation from Mat. Zametki 105, No. 3, 476--480 (2019) Full Text: DOI OpenURL
Liu, Chong; Neufeld, Ariel Compactness criterion for semimartingale laws and semimartingale optimal transport. (English) Zbl 1481.60053 Trans. Am. Math. Soc. 372, No. 1, 187-231 (2019). MSC: 60F05 60G48 49Q22 49N15 PDF BibTeX XML Cite \textit{C. Liu} and \textit{A. Neufeld}, Trans. Am. Math. Soc. 372, No. 1, 187--231 (2019; Zbl 1481.60053) Full Text: DOI arXiv OpenURL
Martin, Ole; Vetter, Mathias Laws of large numbers for Hayashi-Yoshida-type functionals. (English) Zbl 1419.62217 Finance Stoch. 23, No. 3, 451-500 (2019). MSC: 62M09 60F05 60G48 62P05 PDF BibTeX XML Cite \textit{O. Martin} and \textit{M. Vetter}, Finance Stoch. 23, No. 3, 451--500 (2019; Zbl 1419.62217) Full Text: DOI arXiv OpenURL
Gagnon, Gregory Vanishing central bank intervention in stochastic impulse control. (English) Zbl 1410.91343 Ann. Finance 15, No. 1, 125-153 (2019). MSC: 91B64 93E20 60H10 62P05 PDF BibTeX XML Cite \textit{G. Gagnon}, Ann. Finance 15, No. 1, 125--153 (2019; Zbl 1410.91343) Full Text: DOI OpenURL
Agram, Nacira Dynamic risk measure for BSVIE with jumps and semimartingale issues. (English) Zbl 1426.60060 Stochastic Anal. Appl. 37, No. 3, 361-376 (2019). MSC: 60H05 60H20 60H30 45D05 PDF BibTeX XML Cite \textit{N. Agram}, Stochastic Anal. Appl. 37, No. 3, 361--376 (2019; Zbl 1426.60060) Full Text: DOI arXiv Link OpenURL
Yoshida, Naohiro A simple solution to a continuous-time mean-variance portfolio selection via the mean-variance hedging. (English) Zbl 1419.91598 JSIAM Lett. 11, 25-28 (2019). MSC: 91G10 60G44 PDF BibTeX XML Cite \textit{N. Yoshida}, JSIAM Lett. 11, 25--28 (2019; Zbl 1419.91598) Full Text: DOI OpenURL
Li, Jia; Liu, Yunxiao; Xiu, Dacheng Efficient estimation of integrated volatility functionals via multiscale jackknife. (English) Zbl 1481.60052 Ann. Stat. 47, No. 1, 156-176 (2019). MSC: 60F05 60G44 62F12 PDF BibTeX XML Cite \textit{J. Li} et al., Ann. Stat. 47, No. 1, 156--176 (2019; Zbl 1481.60052) Full Text: DOI Euclid OpenURL
Kong, Xin-Bing Lack of fit test for infinite variation jumps at high frequencies. (English) Zbl 1412.62112 Stat. Sin. 29, No. 1, 81-95 (2019). MSC: 62M05 60G48 60J65 60J75 62P05 PDF BibTeX XML Cite \textit{X.-B. Kong}, Stat. Sin. 29, No. 1, 81--95 (2019; Zbl 1412.62112) Full Text: DOI OpenURL
Belton, Alexander C. R. On stopping Fock-space processes. (English) Zbl 1427.81062 J. Theor. Probab. 32, No. 1, 484-526 (2019). Reviewer: Michael Skeide (Campobasso) MSC: 81S25 46L53 60G40 PDF BibTeX XML Cite \textit{A. C. R. Belton}, J. Theor. Probab. 32, No. 1, 484--526 (2019; Zbl 1427.81062) Full Text: DOI arXiv Link OpenURL
Todorov, Viktor Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale. (English) Zbl 1409.62164 Stochastic Processes Appl. 129, No. 2, 419-451 (2019). MSC: 62M05 62G07 62G20 60J75 PDF BibTeX XML Cite \textit{V. Todorov}, Stochastic Processes Appl. 129, No. 2, 419--451 (2019; Zbl 1409.62164) Full Text: DOI OpenURL
Güneysu, Batu On the semimartingale property of Brownian bridges on complete manifolds. (English) Zbl 1407.82051 ALEA, Lat. Am. J. Probab. Math. Stat. 16, No. 1, 15-31 (2019). MSC: 82C44 60K35 60G70 PDF BibTeX XML Cite \textit{B. Güneysu}, ALEA, Lat. Am. J. Probab. Math. Stat. 16, No. 1, 15--31 (2019; Zbl 1407.82051) Full Text: arXiv Link OpenURL
Tarami, Bahram; Avaji, Mohsen Convergence of Euler-Maruyama method for stochastic differential equations driven by \(\alpha\)-stable Lévy motion. (English) Zbl 1462.65013 J. Math. Ext. 12, No. 3, 31-53 (2018). MSC: 65C30 60H10 60G51 60G52 PDF BibTeX XML Cite \textit{B. Tarami} and \textit{M. Avaji}, J. Math. Ext. 12, No. 3, 31--53 (2018; Zbl 1462.65013) Full Text: Link OpenURL
Dumitrescu, Roxana; Grigorova, Miryana; Quenez, Marie-Claire; Sulem, Agnès BSDEs with default jump. (English) Zbl 1408.60044 Celledoni, Elena (ed.) et al., Computation and combinatorics in dynamics, stochastics and control. The Abel symposium, Rosendal, Norway, August 16–19, 2016. Selected papers. Cham: Springer. Abel Symp. 13, 233-263 (2018). MSC: 60H10 PDF BibTeX XML Cite \textit{R. Dumitrescu} et al., Abel Symp. 13, 233--263 (2018; Zbl 1408.60044) Full Text: DOI Link OpenURL
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 PDF BibTeX XML Cite \textit{H. Chiu} and \textit{R. Cont}, Electron. Commun. Probab. 23, Paper No. 85, 12 p. (2018; Zbl 1406.60082) Full Text: DOI arXiv Euclid OpenURL
Criens, David; Glau, Kathrin Absolute continuity of semimartingales. (English) Zbl 1406.60062 Electron. J. Probab. 23, Paper No. 125, 28 p (2018). MSC: 60G44 60G48 PDF BibTeX XML Cite \textit{D. Criens} and \textit{K. Glau}, Electron. J. Probab. 23, Paper No. 125, 28 p (2018; Zbl 1406.60062) Full Text: DOI arXiv Euclid OpenURL
Beznea, Lucian; Cîmpean, Iulian Invariant, super and quasi-martingale functions of a Markov process. (English) Zbl 1405.60118 Eberle, Andreas (ed.) et al., Stochastic partial differential equations and related fields. In honor of Michael Röckner, SPDERF, Bielefeld, Germany, October 10–14, 2016. Cham: Springer (ISBN 978-3-319-74928-0/hbk; 978-3-319-74929-7/ebook). Springer Proceedings in Mathematics & Statistics 229, 407-420 (2018). MSC: 60J45 31C05 60J40 60J25 37C40 37L40 31C25 PDF BibTeX XML Cite \textit{L. Beznea} and \textit{I. Cîmpean}, Springer Proc. Math. Stat. 229, 407--420 (2018; Zbl 1405.60118) Full Text: DOI arXiv OpenURL
Mimica, Ante; Sandrić, Nikola; Schilling, René L. Markov chain approximation of pure jump processes. (English) Zbl 1417.60068 Acta Appl. Math. 158, No. 1, 167-206 (2018). MSC: 60J25 60J27 60J75 PDF BibTeX XML Cite \textit{A. Mimica} et al., Acta Appl. Math. 158, No. 1, 167--206 (2018; Zbl 1417.60068) Full Text: DOI arXiv OpenURL
Jacod, Jean; Podolskij, Mark On the minimal number of driving Lévy motions in a multivariate price model. (English) Zbl 1402.60068 J. Appl. Probab. 55, No. 3, 823-833 (2018). MSC: 60H05 60G51 60G18 PDF BibTeX XML Cite \textit{J. Jacod} and \textit{M. Podolskij}, J. Appl. Probab. 55, No. 3, 823--833 (2018; Zbl 1402.60068) Full Text: DOI Link OpenURL
Mostovyi, Oleksii Optimal consumption of multiple goods in incomplete markets. (English) Zbl 1417.91472 J. Appl. Probab. 55, No. 3, 810-822 (2018). MSC: 91G10 93E20 60G48 49N15 PDF BibTeX XML Cite \textit{O. Mostovyi}, J. Appl. Probab. 55, No. 3, 810--822 (2018; Zbl 1417.91472) Full Text: DOI arXiv OpenURL
Kurisu, Daisuke Power variations and testing for co-jumps: the small noise approach. (English) Zbl 1403.62191 Scand. J. Stat. 45, No. 3, 482-512 (2018). MSC: 62P05 60G48 62M07 PDF BibTeX XML Cite \textit{D. Kurisu}, Scand. J. Stat. 45, No. 3, 482--512 (2018; Zbl 1403.62191) Full Text: DOI arXiv OpenURL
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. Ambit stochastics. (English) Zbl 1472.60002 Probability Theory and Stochastic Modelling 88. Cham: Springer (ISBN 978-3-319-94128-8/hbk; 978-3-319-94129-5/ebook). xxv, 402 p. (2018). Reviewer: Jordan M. Stoyanov (Sofia) MSC: 60-02 60G60 60G51 76F02 91G20 PDF BibTeX XML Cite \textit{O. E. Barndorff-Nielsen} et al., Ambit stochastics. Cham: Springer (2018; Zbl 1472.60002) Full Text: DOI OpenURL
Beznea, Lucian; Cîmpean, Iulian Quasimartingales associated to Markov processes. (English) Zbl 1425.60068 Trans. Am. Math. Soc. 370, No. 11, 7761-7787 (2018). Reviewer: Alexander I. Zejfman (Vologda) MSC: 60J45 31C25 60J40 60J25 60J35 60J55 60J57 31C05 PDF BibTeX XML Cite \textit{L. Beznea} and \textit{I. Cîmpean}, Trans. Am. Math. Soc. 370, No. 11, 7761--7787 (2018; Zbl 1425.60068) Full Text: DOI arXiv OpenURL
Yan, Jia-An Introduction to stochastic finance. (English) Zbl 1420.91001 Universitext. Singapore: Springer; Beijing: Science Press (ISBN 978-981-13-1656-2/pbk; 978-981-13-1657-9/ebook). xiv, 403 p. (2018). Reviewer: Tak Kuen Siu (Sydney) MSC: 91-01 91G10 91G20 91B25 91G30 60G42 91B16 60H30 62P05 62M10 PDF BibTeX XML Cite \textit{J.-A. Yan}, Introduction to stochastic finance. Singapore: Springer; Beijing: Science Press (2018; Zbl 1420.91001) Full Text: DOI OpenURL
Ronald Gallant, A.; Tauchen, George Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale. (English) Zbl 1452.62605 J. Econom. 205, No. 1, 140-155 (2018). MSC: 62M05 62F15 60G48 62P05 62P20 PDF BibTeX XML Cite \textit{A. Ronald Gallant} and \textit{G. Tauchen}, J. Econom. 205, No. 1, 140--155 (2018; Zbl 1452.62605) Full Text: DOI OpenURL
Jacod, Jean; Todorov, Viktor Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation. (English) Zbl 1391.60044 Ann. Appl. Probab. 28, No. 1, 511-576 (2018). MSC: 60F05 60F17 60G51 60G07 PDF BibTeX XML Cite \textit{J. Jacod} and \textit{V. Todorov}, Ann. Appl. Probab. 28, No. 1, 511--576 (2018; Zbl 1391.60044) Full Text: DOI OpenURL
Martin, Ole; Vetter, Mathias Testing for simultaneous jumps in case of asynchronous observations. (English) Zbl 1415.62040 Bernoulli 24, No. 4B, 3522-3567 (2018). MSC: 62H15 60H05 60G48 60F05 PDF BibTeX XML Cite \textit{O. Martin} and \textit{M. Vetter}, Bernoulli 24, No. 4B, 3522--3567 (2018; Zbl 1415.62040) Full Text: DOI arXiv Euclid OpenURL
Siorpaes, Pietro Applications of pathwise Burkholder-Davis-Gundy inequalities. (English) Zbl 1407.60059 Bernoulli 24, No. 4B, 3222-3245 (2018). MSC: 60G44 60E15 60G40 60J60 PDF BibTeX XML Cite \textit{P. Siorpaes}, Bernoulli 24, No. 4B, 3222--3245 (2018; Zbl 1407.60059) Full Text: DOI arXiv Euclid OpenURL
Li, Cuixia; Guo, Erlin Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity. (English) Zbl 1388.62309 Commun. Stat., Theory Methods 47, No. 3, 521-531 (2018). MSC: 62P05 60F05 62M09 PDF BibTeX XML Cite \textit{C. Li} and \textit{E. Guo}, Commun. Stat., Theory Methods 47, No. 3, 521--531 (2018; Zbl 1388.62309) Full Text: DOI OpenURL
Liu, Zhi; Kong, Xin-Bing; Jing, Bing-Yi Estimating the integrated volatility using high-frequency data with zero durations. (English) Zbl 1387.62110 J. Econom. 204, No. 1, 18-32 (2018). MSC: 62P05 62E20 60G44 60F05 PDF BibTeX XML Cite \textit{Z. Liu} et al., J. Econom. 204, No. 1, 18--32 (2018; Zbl 1387.62110) Full Text: DOI OpenURL
Bouzebda, Salim; Papamichail, Chrysanthi; Limnios, Nikolaos On a multidimensional general bootstrap for empirical estimator of continuous-time semi-Markov kernels with applications. (English) Zbl 1435.62148 J. Nonparametric Stat. 30, No. 1, 49-86 (2018). Reviewer: Romeo Negrea (Timişoara) MSC: 62G09 60F17 60G48 PDF BibTeX XML Cite \textit{S. Bouzebda} et al., J. Nonparametric Stat. 30, No. 1, 49--86 (2018; Zbl 1435.62148) Full Text: DOI OpenURL
Boswijk, H. Peter; Laeven, Roger J. A.; Yang, Xiye Testing for self-excitation in jumps. (English) Zbl 1386.62025 J. Econom. 203, No. 2, 256-266 (2018). MSC: 62M05 60G44 60J75 62F12 62M07 62P05 PDF BibTeX XML Cite \textit{H. P. Boswijk} et al., J. Econom. 203, No. 2, 256--266 (2018; Zbl 1386.62025) Full Text: DOI OpenURL
Li, Jia; Patton, Andrew J. Asymptotic inference about predictive accuracy using high frequency data. (English) Zbl 1386.62030 J. Econom. 203, No. 2, 223-240 (2018). MSC: 62M20 62M10 62P05 62P20 91B84 PDF BibTeX XML Cite \textit{J. Li} and \textit{A. J. Patton}, J. Econom. 203, No. 2, 223--240 (2018; Zbl 1386.62030) Full Text: DOI Link OpenURL
Jeanblanc, Monique; Li, Libo; Song, Shiqi An enlargement of filtration formula with applications to multiple non-ordered default times. (English) Zbl 1379.60040 Finance Stoch. 22, No. 1, 205-240 (2018). Reviewer: Claudio Fontana (Paris) MSC: 60G07 91G40 60G44 PDF BibTeX XML Cite \textit{M. Jeanblanc} et al., Finance Stoch. 22, No. 1, 205--240 (2018; Zbl 1379.60040) Full Text: DOI HAL OpenURL
Guo, Ping; Li, Chong-Jun Almost sure exponential stability of numerical solutions for stochastic pantograph differential equations. (English) Zbl 1382.65018 J. Math. Anal. Appl. 460, No. 1, 411-424 (2018). MSC: 65C30 34K50 60H10 60H35 PDF BibTeX XML Cite \textit{P. Guo} and \textit{C.-J. Li}, J. Math. Anal. Appl. 460, No. 1, 411--424 (2018; Zbl 1382.65018) Full Text: DOI OpenURL
Aït-Sahalia, Yacine; Jacod, Jean Semimartingale: Itô or not ? (English) Zbl 06814949 Stochastic Processes Appl. 128, No. 1, 233-254 (2018). MSC: 62F12 62M05 60H10 60J60 PDF BibTeX XML Cite \textit{Y. Aït-Sahalia} and \textit{J. Jacod}, Stochastic Processes Appl. 128, No. 1, 233--254 (2018; Zbl 06814949) Full Text: DOI OpenURL
Lazrieva, Nanuli; Toronjadze, Temur Recursive estimation procedures for one-dimensional parameter of statistical models associated with semimartingales. (English) Zbl 1432.62277 Trans. A. Razmadze Math. Inst. 171, No. 1, 57-75 (2017). MSC: 62L20 60G44 62G20 PDF BibTeX XML Cite \textit{N. Lazrieva} and \textit{T. Toronjadze}, Trans. A. Razmadze Math. Inst. 171, No. 1, 57--75 (2017; Zbl 1432.62277) Full Text: DOI OpenURL
Mykland, Per A.; Zhang, Lan Assessment of uncertainty in high frequency data: the observed asymptotic variance. (English) Zbl 1410.62208 Econometrica 85, No. 1, 197-231 (2017). MSC: 62P20 62M10 62J10 PDF BibTeX XML Cite \textit{P. A. Mykland} and \textit{L. Zhang}, Econometrica 85, No. 1, 197--231 (2017; Zbl 1410.62208) Full Text: DOI OpenURL
Li, Jia; Todorov, Viktor; Tauchen, George Jump regressions. (English) Zbl 1410.62205 Econometrica 85, No. 1, 173-195 (2017). MSC: 62P20 62J02 62M10 60G42 60J75 PDF BibTeX XML Cite \textit{J. Li} et al., Econometrica 85, No. 1, 173--195 (2017; Zbl 1410.62205) Full Text: DOI OpenURL
Chau, Huy N.; Cosso, Andrea; Fontana, Claudio; Mostovyi, Oleksii Optimal investment with intermediate consumption under no unbounded profit with bounded risk. (English) Zbl 1416.91344 J. Appl. Probab. 54, No. 3, 710-719 (2017). MSC: 91G10 93E20 60G48 PDF BibTeX XML Cite \textit{H. N. Chau} et al., J. Appl. Probab. 54, No. 3, 710--719 (2017; Zbl 1416.91344) Full Text: DOI arXiv Link OpenURL
Criens, David; Glau, Kathrin; Grbac, Zorana Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models. (English) Zbl 1398.91574 Appl. Math. Finance 24, No. 1-2, 23-37 (2017). MSC: 91G20 60G48 60G44 91G30 PDF BibTeX XML Cite \textit{D. Criens} et al., Appl. Math. Finance 24, No. 1--2, 23--37 (2017; Zbl 1398.91574) Full Text: DOI arXiv OpenURL
Li, Quan-Lin; Qian, Zhi-Yong; Fan, Rui-Na Fluid and diffusion limits for bike sharing systems. (English) Zbl 1391.90192 Yue, Wuyi (ed.) et al., Queueing theory and network applications. 12th international conference, QTNA 2017, Qinhuangdao, China, August 21–23, 2017. Proceedings. Cham: Springer (ISBN 978-3-319-68519-9/pbk; 978-3-319-68520-5/ebook). Lecture Notes in Computer Science 10591, 217-245 (2017). MSC: 90B22 60K25 PDF BibTeX XML Cite \textit{Q.-L. Li} et al., Lect. Notes Comput. Sci. 10591, 217--245 (2017; Zbl 1391.90192) Full Text: DOI arXiv OpenURL
Koroliouk, D.; Koroliuk, V. S. Adapted statistical experiments with random change of time. (English) Zbl 1388.62005 Rykov, Vladimir V. (ed.) et al., Analytical and computational methods in probability theory. First international conference, ACMPT 2017, Moscow, Russia, October 23–27, 2017. Proceedings. Cham: Springer (ISBN 978-3-319-71503-2/pbk; 978-3-319-71504-9/ebook). Lecture Notes in Computer Science 10684, 523-537 (2017). MSC: 62B15 60G44 60K05 PDF BibTeX XML Cite \textit{D. Koroliouk} and \textit{V. S. Koroliuk}, Lect. Notes Comput. Sci. 10684, 523--537 (2017; Zbl 1388.62005) Full Text: DOI OpenURL
Lukkarinen, Jani; Pakkanen, Mikko S. Arbitrage without borrowing or short selling? (English) Zbl 1415.91269 Math. Financ. Econ. 11, No. 3, 263-274 (2017). MSC: 91G10 60H05 60G44 PDF BibTeX XML Cite \textit{J. Lukkarinen} and \textit{M. S. Pakkanen}, Math. Financ. Econ. 11, No. 3, 263--274 (2017; Zbl 1415.91269) Full Text: DOI arXiv OpenURL
Li, Jia; Todorov, Viktor; Tauchen, George; Chen, Rui Mixed-scale jump regressions with bootstrap inference. (English) Zbl 1377.62198 J. Econom. 201, No. 2, 417-432 (2017). MSC: 62P05 62M05 60G48 60J75 PDF BibTeX XML Cite \textit{J. Li} et al., J. Econom. 201, No. 2, 417--432 (2017; Zbl 1377.62198) Full Text: DOI OpenURL
Jaber, Eduardo Abi Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients. (English) Zbl 1373.93307 Electron. Commun. Probab. 22, Paper No. 53, 15 p. (2017). MSC: 93E03 60H10 60J75 PDF BibTeX XML Cite \textit{E. A. Jaber}, Electron. Commun. Probab. 22, Paper No. 53, 15 p. (2017; Zbl 1373.93307) Full Text: DOI arXiv Euclid OpenURL
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique No-arbitrage up to random horizon for quasi-left-continuous models. (English) Zbl 1391.91165 Finance Stoch. 21, No. 4, 1103-1139 (2017). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G99 91B24 91G10 60G48 60H05 60H30 PDF BibTeX XML Cite \textit{A. Aksamit} et al., Finance Stoch. 21, No. 4, 1103--1139 (2017; Zbl 1391.91165) Full Text: DOI OpenURL