Related papers: Testing whether jumps have finite or infinite acti…
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state space representation is used to link observed returns, plus nonparametric measures of…
Practical problems with missing data are common, and statistical methods have been developed concerning the validity and/or efficiency of statistical procedures. On a central focus, there have been longstanding interests on the mechanism…
We give conditions to prove the existence of an Extremal Index for general stationary stochastic processes by detecting the presence of one or more underlying periodic phenomena. This theory, besides giving general useful tools to identify…
We study structural equation modeling (SEM) for diffusion processes with jumps. Based on high-frequency data, we consider the parameter estimation and the goodness-of-fit test in the SEM. Using a threshold method, we propose the…
There is growing interest in termination reasoning for non-linear programs and, meanwhile, recent dynamic strategies have shown they are able to infer invariants for such challenging programs. These advances led us to hypothesize that…
Time estimation is a fundamental task that underpins precision measurement, global navigation systems, financial markets, and the organisation of everyday life. Many biological processes also depend on time estimation by nanoscale clocks,…
A strict local martingale is a local martingale which is not a martingale. There are few explicit examples of "naturally occurring" strict local martingales with jumps available in the literature. The purpose of this paper is to provide…
In this letter we prove existence and uniqueness of strong solutions to multi-dimensional SDEs with discontinuous drift and finite activity jumps.
We study randomly stopped sums via their asymptotic scales. First, finiteness of moments is considered. To generalise this study, asymptotic scales applicable to the class of all heavy-tailed random variables are used. The stopping is…
We consider a Markov chain on $R^+$ with asymptotically zero drift and finite second moments of jumps which is positive recurrent. A power-like asymptotic behaviour of the invariant tail distribution is proven; such a heavy-tailed invariant…
A complete characterization of the possible joint distributions of the maximum and terminal value of uniformly integrable martingale has been known for some time, and the aim of this paper is to establish a similar characterization for…
In this work we address the problem of detecting whether a sampled probability distribution of a random variable $V$ has infinite first moment. This issue is notably important when the sample results from complex numerical simulation…
In this work, we focus on an infinite horizon mean-field linear-quadratic stochastic control problem with jumps. Firstly, the infinite horizon linear mean-field stochastic differential equations and backward stochastic differential…
In this paper, we present the double smoothed nonparametric approach for infinitesimal conditional volatility of jump-diffusion model based on high frequency data. Under certain minimal conditions, we obtain the strong consistency and…
In quantitative finance, we often fit a parametric semimartingale model to asset prices. To ensure our model is correct, we must then perform goodness-of-fit tests. In this paper, we give a new goodness-of-fit test for volatility-like…
We consider a recurrent random walk of i.i.d. increments on the one-dimensional integer lattice and obtain a formula relating the hitting distribution of a half-line with the potential function, $a(x)$, of the random walk. Applying it, we…
The author proposes a method for investigating actions of finite groups on aspherical spaces. Complete homotopy classification of free actions of finite groups on aspherical spaces is obtained. Also there are some results about non-free…
In this article we study the long time behaviour of measure-valued birth and death processes in continuous time, where the dynamics between jumps are one-dimensional Markov processes including diffusion and jumps. We consider the three…
Motivated by entropic optimal transport, time reversal of Markov jump processes in $\mathbb{R}^n$ is investigated. Relying on an abstract integration by parts formula for the carr\'e du champ of a Markov process recently obtained by…
In this paper, we first investigate the estimation of the empirical joint Laplace transform of volatilities of two semi-martingales within a fixed time interval [0, T] by using overlapped increments of high-frequency data. The proposed…