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SEMIMARTINGALE: 作品数：18被引量：3H指数：1; 导出分析报告; 相关领域：理学更多>>; 相关期刊：《Science Bulletin》《Science China Mathematics》《Journal of Donghua University(English Edition)》《Applied Mathematics and Mechanics(English Edition)》更多>>; 相关基金：国家自然科学基金中国博士后科学基金国家重点基础研究发展计划广东省自然科学基金更多>>

Invariance times transfer properties: 《Probability, Uncertainty and Quantitative Risk》2024年第4期431-452,共22页Stéphane Crepey; Invariance times are stopping times T such that local martingales with respect to some reduced filtration and an equivalently changed probability measure,stopped before T,are local martingales with respect to the orig...; 关键词：Progressive enlargement of filtration Invariance time Semimartingale calculus Markov process Backward stochastic differential equation Counterparty risk Credit risk

Semimartingale dynamics for a backward exchange rate process: 《Probability, Uncertainty and Quantitative Risk》2024年第3期371-388,共18页Gregory Gagnon; Via a forward SDE solution(k_(t),t≥O)that captures money supply dynamics,a macroeconomic model known as the monetary model generates a backward exchange rate process(y_(t),t≥0).For any t≥0,y_(t)=k_(t)+α^(-1)μ_(t)...; 关键词：Backward process SEMIMARTINGALE Anti-inflationary SDE policy

Information-based approach:Pricing of a credit risky asset in the presence of default time: 《Probability, Uncertainty and Quantitative Risk》2024年第3期405-430,共26页Mohammed Louriki; We extend the information-based asset-pricing framework by Brody,Hughston&Macrina to incorporate a stochastic bankruptcy time for the writer of the asset.Our model introduces a non-defaultable cash flow Zr to be made ...; 关键词：Brownian random bridge SEMIMARTINGALE Local time Compensator process Information-based asset pricing Credit risk Default time Totally inaccessible stopping time

Uniform convergence rates for spot volatility estimation: 《Probability, Uncertainty and Quantitative Risk》2023年第3期321-332,共12页Chen Li Pengtao Li Yilun Zhang; This study presents the uniform convergence rate for spot volatility estimators based on delta sequences.Kernel and Fourier-based estimators are examples of this type of estimator.We also present the uniform convergen...; 关键词：Spot volatility Uniform convergence rates Itôsemimartingale

Trading-flow assisted estimation of the jump activity index: 《Science China Mathematics》2020年第11期2363-2378,共16页Xinbing Kong Guangying Liu Shangyu Xie; supported by National Natural Science Foundation of China(Grant Nos.11201080 and 11571250);Priority Academic Program Development of Jiangsu Higher Education Institutions;supported by National Natural Science Foundation of China(Grant No.11501503);Qinglan Project of Jiangsu Province,National Science Foundation of Jiangsu Province of China(Grant No.BK20181417);Jiangsu Province College Science Key Foundation(Grant No.17KJA110001);supported by National Natural Science Foundation of China(Grant No.71874028);State Key Programme of National Natural Science Foundation of China(Grant No.71331006);the Fundamental Research Funds for the Central Universities in University of International Business and Economics(Grant No.16YQ05)。; Existing estimators for the jump activity index only made use of the price dynamics of assets.In this study,we incorporate trading information and propose a trading-flow-adjusted(TA)estimator for the jump activity ind...; 关键词：jump activity index pure-jump Ito semimartingale trading volume power variation

Affine processes under parameter uncertainty被引量：1: 《Probability, Uncertainty and Quantitative Risk》2019年第1期80-114,共35页Tolulope Fadina Ariel Neufeld Thorsten Schmidt; We develop a one-dimensional notion of affine processes under parameter uncertainty,which we call nonlinear affine processes.This is done as follows:given a setof parameters for the process,we construct a correspondin...; 关键词：Affine processes Knightian uncertainty Riccati equation Vasicek model Cox-Ingersoll-Ross model Nonlinear Vasicek/CIR model Heston model Ito formula Kolmogorov equation Fully nonlinear PDE SEMIMARTINGALE

Testing long memory based on a discretely observed process: 《Applied Mathematics(A Journal of Chinese Universities)》2016年第3期253-268,共16页LIU Guang-ying ZHANG Xin-sheng ZHANG Shi-bin; Supported by National NSFC(11501503);Natural Science Foundation of Jiangsu Province of China(BK20131340);China Postdoctoral Science Foundation(2014M560471,2016T90534);Qing Lan Project of Jiangsu Province of China;Priority Academic Program Development of Jiangsu Higher Education Institutions(Applied Economics);Key Laboratory of Jiangsu Province(Financial Engineering Laboratory); In this paper we consider the problem of testing long memory for a continuous time process based on high frequency data. We provide two test statistics to distinguish between a semimartingale and a fractional integral...; 关键词：long memory JUMP fractional Brownian motion SEMIMARTINGALE high frequency data power variation

One-dimensional heat equation with discontinuous conductance: 《Science China Mathematics》2015年第1期97-108,共12页CHEN Zhen-Qing ZILI Mounir; supported by the National Science Foundation of USA (Grant No. DMS1206276);National Natural Science Foundation of China (Grant No. 1128101);the Research Unit of Tunisia (Grant No. UR11ES53); We study a second-order parabolic equation with divergence form elliptic operator,having a piecewise constant diffusion coefficient with two points of discontinuity.Such partial differential equations appear in the mo...; 关键词：stochastic differential equation semimartingale local time strong solution skew Brownian mo-tion heat kernel asymptotic expansion

On existence,uniqueness and convergence of multi-valued stochastic diferential equations driven by continuous semimartingales被引量：1: 《Science China Mathematics》2014年第3期589-607,共19页REN JiaGang WU Jing ZHANG Hua; supported by China Postdoctoral Science Foundation(Grant No.2013T60817);Natural Science Foundation of Guangdong Province(Grant No.S2012040007458);National Natural Science Foundation of China(Grant No.11171358); In this paper we study the existence and uniqueness of solutions of multi-valued stochastic differen- tial equations driven by continuous semimartingales when the coefficients are stochastically Lipschitz continuous. ...; 关键词：multi-valued stochastic differential equation SEMIMARTINGALE EXISTENCE UNIQUENESS CONVERGENCE

Non-contact of Solutions to Stochastic Differential Equations Driven by Semimartingale with Non-Lipschitz Coefficients: 《Journal of Donghua University(English Edition)》2011年第5期516-518,共3页费为银; National Natural Science Foundation of China(No.71171003);Natural Science Foundation of Anhui Province of China(No.090416225);Natural Science Foundation of Universities of Anhui Province of China(No.KJ2010A037); A class of stochastic differential equations(SDEs) driven by semimartingale with non-Lipschitz coefficients was studied.By using Gronwall inequality,the non-confluence of solutions is proved under the general conditions.; 关键词：stochastic differential equations non-confluence of solutions local characteristic of semimartingale non-Lipschitz coefficients Gronwall lemma

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