相关论文: Adaptive Test for Jump

We conduct an extensive evaluation of price jump tests based on high-frequency financial data. After providing a concise review of multiple alternative tests, we document the size and power of all tests in a range of empirically relevant…

We consider a jump-type Cox--Ingersoll--Ross (CIR) process driven by a standard Wiener process and a subordinator, and we study asymptotic properties of the maximum likelihood estimator (MLE) for its growth rate. We distinguish three cases:…

This paper considers a semiparametric generalized autoregressive conditional heteroskedasticity (S-GARCH) model. For this model, we first estimate the time-varying long run component for unconditional variance by the kernel estimator, and…

Volatility estimation based on high-frequency data is key to accurately measure and control the risk of financial assets. A L\'{e}vy process with infinite jump activity and microstructure noise is considered one of the simplest, yet…

This paper deals a continuous-time state-dependent jump linear system, a particular kind of stochastic switching system. In particular, we consider a situation when the transition rate of the random jump process depends on the state…

Dealing with distribution shifts is one of the central challenges for modern machine learning. One fundamental situation is the covariate shift, where the input distributions of data change from training to testing stages while the…

The `local time on curves' formula of Peskir provides a stochastic change of variables formula for a function whose derivatives may be discontinuous over a time-dependent curve, a setting which occurs often in applications in optimal…

We present a theoretical analysis of some popular adaptive Stochastic Gradient Descent (SGD) methods in the small learning rate regime. Using the stochastic modified equations framework introduced by Li et al., we derive effective…

We give an explicit stochastic Hamiltonian model of discontinuous unitary evolution for quantum spontaneous jumps like in a system of atoms in quantum optics, or in a system of quantum particles that interacts singularly with "bubbles"…

We study the asymptotics for jump-penalized least squares regression aiming at approximating a regression function by piecewise constant functions. Besides conventional consistency and convergence rates of the estimates in $L^2([0,1))$ our…

Conformal regression provides prediction intervals with global coverage guarantees, but often fails to capture local error distributions, leading to non-homogeneous coverage. We address this with a new adaptive method based on rescaling…

We consider discrete-time observations of a continuous martingale under measurement error. This serves as a fundamental model for high-frequency data in finance, where an efficient price process is observed under microstructure noise. It is…

The cooperative dynamics of a 1-D collection of Markov jump, interacting stochastic processes is studied via a mean-field approach. In the time-asymptotic regime, the resulting nonlinear master equation is analytically solved. The…

We consider the moderate deviations behaviors for two (co-) volatility estima-tors: generalised bipower variation, Hayashi-Yoshida estimator. The results are obtained by using a new result about the moderate deviations principle for…

We consider unconstrained stochastic optimization problems with no available gradient information. Such problems arise in settings from derivative-free simulation optimization to reinforcement learning. We propose an adaptive sampling…

In this paper, we propose a new jump robust quantile-based realised variance measure of ex-post return variation that can be computed using potentially noisy data. The estimator is consistent for the integrated variance and we present…

Stochastic systems with memory naturally appear in life science, economy, and finance. We take the modelling point of view of stochastic functional delay equations and we study these structures when the driving noises admit jumps. Our…

In this paper, we, for the first time, establish two comparison theorems for multi-dimensional backward stochastic differential equations with jumps. Our approach is novel and completely different from the existing results for…

The proportionally fair sharing of the capacity of a Poisson network using Spatial-Aloha leads to closed-form performance expressions in two extreme cases: (1) the case without topology information, where the analysis boils down to a…

We consider stochastic zero-order optimization problems, which arise in settings from simulation optimization to reinforcement learning. We propose an adaptive sampling quasi-Newton method where we estimate the gradients of a stochastic…