相关论文: Power variations and testing for co-jumps: the sma…

The paper studies the continuous-time dynamics of VIX with stochastic volatility and jumps in VIX and volatility. Built on the general parametric affine model with stochastic volatility and jump in logarithm of VIX, we derive a linear…

We study through numerical simulation the Vicsek model for very low speeds and densities. We consider scalar noise in 2-d and 3-d, and vector noise in 3-d. We focus on the behavior of the critical noise with density and speed, trying to…

We consider the problem of recovering of initial data in the IBVP for the wave-type equation in the half-space by the solution restricted to the boundary. The singular value decomposition of this problem is concerned: the asymptotics of…

Consider a collection of particles whose state evolution is described through a system of interacting diffusions in which each particle is driven by an independent individual source of noise and also by a small amount of noise that is…

We analyze the properties of the majority-vote (MV) model with an additional noise in which a local spin can be changed independently of its neighborhood. In the standard MV, one of the simplest nonequilibrium systems exhibiting an…

Long-baseline optical interferometry uses the power spectrum and bispectrum constructs as fundamental observables. Noise arising in the detection of the fringe pattern gives rise to both variance and biases in the power spectrum and…

Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…

In this paper, we apply doubly robust approach to estimate, when some covariates are given, the conditional average treatment effect under parametric, semiparametric and nonparametric structure of the nuisance propensity score and outcome…

This work analyzes and compares the asymptotic properties of the covariance matrices of vectors of volume power functionals of random Vietoris-Rips complexes, as the intensity of the underlying homogeneous Poisson point process grows.…

This paper develops a general framework for analyzing asymptotics of $V$-statistics. Previous literature on limiting distribution mainly focuses on the cases when $n \to \infty$ with fixed kernel size $k$. Under some regularity conditions,…

It is well known that a random multiplicative process with weak additive noise generates a power-law probability distribution. It has recently been recognized that this process exhibits another type of power law: the moment of the…

In this paper, we consider parameter estimation for stochastic differential equations driven by Wiener processes and compound Poisson processes. We assume unknown parameters corresponding to coefficients of the drift term, diffusion term,…

In this paper we provide an asymptotic analysis of generalised bipower measures of the variation of price processes in financial economics. These measures encompass the usual quadratic variation, power variation and bipower variations which…

We derive the short-maturity asymptotics for prices of options on realized variance in local-stochastic volatility models. We consider separately the short-maturity asymptotics for out-of-the-money and in-the-money options cases. The…

We obtain results on both weak and almost sure asymptotic behaviour of power variations of a linear combination of independent Wiener process and fractional Brownian motion. These results are used to construct strongly consistent parameter…

The multidimensional distributions with heavy tails attracted recently the attention of several papers on Applied Probability. However, the most of the works of the last decades are focused on multivariate regular variation, while the rest…

Jump diffusion processes are widely used to model asset prices over time, mainly for their ability to capture complex discontinuous behavior, but inference on the model parameters remains a challenge. Here our goal is posterior inference on…

Reinforcement learning with verifiable rewards (RLVR) is effective for training large language models on deterministic outcome reasoning tasks. Prior work shows RLVR works with few prompts, but prompt selection is often based only on…

Randomized experiments have become important tools in empirical research. In a completely randomized treatment-control experiment, the simple difference in means of the outcome is unbiased for the average treatment effect, and covariate…

We consider estimation of the spot volatility in a stochastic boundary model with one-sided microstructure noise for high-frequency limit order prices. Based on discrete, noisy observations of an It\^o semimartingale with jumps and general…