A Projection result for semimartingales

Smoothing Signals for Semimartingales

Some norm estimates for semimartingales

In this paper we introduce a new type of norm for semimartingales. Our norm is defined in the spirit of quasimartingales, and it characterizes square integrable semimartingales. This work is motivated by our study of zero-sum stochastic differential games, whose value process we conjecture to be a semimartingale under a class of probability measures under some conditions. The norm introduced he...

Optimal Nonparametric Estimation for Semimartingales

This paper extends a result of Godambe on parametric estimation for discrete time stochastic processes to nonparametric estimation for the continuous time case. Following Hasminskii and Ibragimov (1980), the nonparametric problem is formulated as a parametric one but with infinite dimensional parameter. Let { P } be a family of probability measures such that (D,F,P) is complete , (Ft,t~O) is a ...

A generalization of Villarreal's result for unmixed tripartite graphs

‎In this paper we give a characterization of unmixed tripartite‎ ‎graphs under certain conditions which is a generalization of a‎ ‎result of Villarreal on bipartite graphs‎. ‎For bipartite graphs two‎ ‎different characterizations were given by Ravindra and Villarreal‎. ‎We show that these two characterizations imply each other‎.

No Arbitrage without Semimartingales

We show that with suitable restrictions on allowable trading strategies, one has no arbitrage in settings where the traditional theory would admit arbitrage possibilities. In particular, price processes that are not semimartingales are possible in our setting, for example fractional Brownian motion.