Related papers: The Pointillist principle for variation operators …
Volatility estimation is a central problem in financial econometrics, but becomes particularly challenging when jump activity is high, a phenomenon observed empirically in highly traded financial securities. In this paper, we revisit the…
Generalized Large deviation principles was developed for Colombeau-Ito SDE with a random coefficients. We is significantly expand the classical theory of large deviations for randomly perturbed dynamical systems developed by Freidlin and…
We define a generalized index of jump activity, propose estimators of that index for a discretely sampled process and derive the estimators' properties. These estimators are applicable despite the presence of Brownian volatility in the…
In the present article we define the Jain type modification of the generalized Szasz-Mirakjan operators that preserve constant and exponential mappings. Moments, recurrence formulas, and other identities are established for these operators.…
We prove a law of large numbers in terms of complete convergence of independent random variables taking values in increments of monotone functions, with convergence uniform both in the initial and the final time. The result holds also for…
This study deals with the problem of pricing compound options when the underlying asset follows a mixed fractional Brownian motion with jumps. An analytic formula for compound options is derived under the risk neutral measure. Then, these…
A methodology for deriving dual variational principles for the classical Newtonian mechanics of mass points in the presence of applied forces, interaction forces, and constraints, all with a general dependence on particle velocities and…
We establish an eigenfunctional theorem for positive operators, evocative of the Krein--Rutman theorem. A more general version gives a joint eigenfunctional for commuting operators.
We extend the study of jumping numbers of multiplier ideals due to Ein-Lazarsfeld-Smith-Varolin from the algebraic case to the case of general plurisubharmonic functions. While many properties from Ein-Lazarsfeld-Smith-Varolin are shown to…
Cohen, Guyon, Perrin and Pontier have given assumptions under which the second-order quadratic variations of a Gaussian process converge almost surely to a deterministic limit. In this paper we present two new convergence results about…
We give a bare-hands approach to the martingale representation theorem for integer valued random measures, which allows for a wide class of infinite activity jump processes, as well as all processes with well-ordered jumps.
We derive a higher-order asymptotic expansion of the conditional characteristic function of the increment of an It\^o semimartingale over a shrinking time interval. The spot characteristics of the It\^o semimartingale are allowed to have…
In this paper we obtain several extension properties for monotone and sublinear operators. The results obtained generalize those known for positive and linear operators.
We develop in this paper a new framework for discrete calculus of variations when the actions have densities involving an arbitrary discretization operator. We deduce the discrete Euler-Lagrange equations for piecewise continuous critical…
The pion form factor calculation in the ``point-form'' of relativistic quantum mechanics is re-considered. Particular attention is given to the relation between the momentum of the system and the momentum transfer as well as to the quark…
We extend relative oscillation theory to the case of Sturm--Liouville operators $H u = r^{-1}(-(pu')'+q u)$ with different $p$'s. We show that the weighted number of zeros of Wronskians of certain solutions equals the value of Krein's…
We establish a linear variational principle extending the Deville-Godefroy-Zizler's one. We use this variational principle to prove that if $X$ is a Banach space having property $(\alpha)$ of Schachermayer and $Y$ is any banach space, then…
In this paper we provide an extension theorem for fractional powers of some pseudo-differential operators $P(D)$. These extensions yields realization of the fractional powers of some pseudo-differential operators in the spirit of Caffarelli…
We develop a non-anticipating calculus of variations for functionals on a space of laws of continuous semi-martingales, which extends the classical one. We extend Hamilton's least action principle and Noether's theorem to this generalized…
We study the problem of extension and lifting of operators belonging to certain operator ideals, as well as that of their associated polynomials and holomorphic functions. Our results provide a characterization of $\mathcal{L}_1$ and…