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We propose methods to infer jumps of a semi-martingale, which describes long-term price dynamics, based on discrete, noisy, high-frequency observations. Different to the classical model of additive, centered market microstructure noise, we…
We present a fast and robust calibration method for stochastic volatility models that admit Fourier-analytic transform-based pricing via characteristic functions. The design is structure-preserving: we keep the original pricing transform…
We propose a data-driven tracking model predictive control (MPC) scheme to control unknown discrete-time linear time-invariant systems. The scheme uses a purely data-driven system parametrization to predict future trajectories based on…
We provide verification theorems (at different levels of generality) for infinite horizon stochastic control problems in continuous time for semimartingales. The control framework is given as an abstract "martingale formulation", which…
We demonstrate a data-driven method to solve for the invariant probability density function of a randomly perturbed dynamical system. The key idea is to replace the boundary condition of numerical schemes by a least squares problem…
This paper introduces a Data-Fused Model Predictive Control (DFMPC) framework that combines physics-based models with data-driven representations of unknown dynamics. Leveraging Willems' Fundamental Lemma and an artificial equilibrium…
Stochastic methods offer an effective way to suppress coherent errors in quantum simulation. In particular, the randomized compilation protocol may reduce circuit depth by randomly sampling Hamiltonian terms rather than following the…
Estimating spot covariance is an important issue to study, especially with the increasing availability of high-frequency financial data. We study the estimation of spot covariance using a kernel method for high-frequency data. In…
We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by…
Modern automated driving solutions utilize trajectory planning and control components with numerous parameters that need to be tuned for different driving situations and vehicle types to achieve optimal performance. This paper proposes a…
This paper investigates the data-driven predictive control problems for a class of continuous-time industrial processes with completely unknown dynamics. The proposed approach employs the data-driven technique to get the system matrices…
This paper proposes novel tests for the absence of jumps in a univariate semimartingale and for the absence of common jumps in a bivariate semimartingale. Our methods rely on ratio statistics of power variations based on irregular…
Data-driven algorithm design automates hyperparameter tuning, but its statistical foundations remain limited because model performance can depend on hyperparameters in implicit and highly non-smooth ways. Existing guarantees focus on the…
Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including integrated and spot volatilities) of assets, and many methods…
In this paper, we propose a nonparametric way to test the hypothesis that time-variation in intraday volatility is caused solely by a deterministic and recurrent diurnal pattern. We assume that noisy high-frequency data from a discretely…
There is a wide literature on change point tests, but the case of variables with infinite variances is essentially unexplored. In this paper we address this problem by studying the asymptotic behavior of trimmed CUSUM statistics. We show…
We develop a learning-based control algorithm for unknown dynamical systems under very severe data limitations. Specifically, the algorithm has access to streaming and noisy data only from a single and ongoing trial. It accomplishes such…
We study existence and uniqueness of the fixed points solutions of a large class of non-linear variable discounted transfer operators associated to a sequential decision-making process. We establish regularity properties of these solutions,…
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…
This paper investigates the adaptive identification and prediction problems for stochastic dynamical systems with saturated observations, which arise from various fields in engineering and social systems, but up to now still lack…