Zobrazeno 1 - 10
of 35
pro vyhledávání: '"Das, Purba"'
Autor:
Das, Purba, Kim, Donghan
We study the concept of (generalized) $p$-th variation of a real-valued continuous function along a general class of refining sequence of partitions. We show that the finiteness of the $p$-th variation of a given function is closely related to the fi
Externí odkaz:
http://arxiv.org/abs/2409.00652
We prove a general result on a relationship between a limit of normalized numbers of interval crossings by a c\`adl\`ag path and an occupation measure associated with this path. Using this result we define local times of fractional Brownian motions (
Externí odkaz:
http://arxiv.org/abs/2312.05570
Since the classical work of L\'evy, it is known that the local time of Brownian motion can be characterized through the limit of level crossings. While subsequent extensions of this characterization have primarily focused on Markovian or martingale s
Externí odkaz:
http://arxiv.org/abs/2308.08274
We study how to construct a stochastic process on a finite interval with given `roughness' and finite joint moments of marginal distributions. We first extend Ciesielski's isomorphism along a general sequence of partitions, and provide a characteriza
Externí odkaz:
http://arxiv.org/abs/2304.13794
Autor:
Cont, Rama, Das, Purba
We investigate the statistical evidence for the use of `rough' fractional processes with Hurst exponent $H< 0.5$ for the modeling of volatility of financial assets, using a model-free approach. We introduce a non-parametric method for estimating the
Externí odkaz:
http://arxiv.org/abs/2203.13820
Autor:
Cont, Rama, Das, Purba
We present several constructions of paths and processes with finite quadratic variation along a refining sequence of partitions, extending previous constructions to the non-uniform case. We study in particular the dependence of quadratic variation wi
Externí odkaz:
http://arxiv.org/abs/2109.12635
Autor:
Cont, Rama, Das, Purba
We study the concept of quadratic variation of a continuous path along a sequence of partitions and its dependence with respect to the choice of the partition sequence. We define the concept of quadratic roughness of a path along a partition sequence
Externí odkaz:
http://arxiv.org/abs/1907.03115
Autor:
Cont, Rama, Das, Purba
Publikováno v:
In Journal of Mathematical Analysis and Applications 15 August 2022 512(2)
Publikováno v:
Operations Research Forum ,volume 3, Article number: 57 (2022)
In this paper, we consider a zero-sum undiscounted stochastic game which has finite state space and finitely many pure actions. Also, we assume the transition probability of the undiscounted stochastic game is controlled by one player and all the opt
Externí odkaz:
http://arxiv.org/abs/1703.04619
In this article, we considered the problem of sea ice cover is melting. Considering the `satellite passive microwave remote sensing data' as functional data, we studied daily observation of sea ice cover of each year as a smooth continuous function o
Externí odkaz:
http://arxiv.org/abs/1610.07024