Quadratic variation and quadratic roughness
نویسندگان
چکیده
We study the concept of quadratic variation a continuous path along sequence partitions and its dependence with respect to choice partition sequence. introduce roughness show that for Hölder-continuous paths satisfying this condition, balanced is invariant Typical Brownian motion are shown satisfy property almost-surely any required step size condition. Using these results we derive formulation pathwise Föllmer-Itô calculus which also an invarience local time under roughness.
منابع مشابه
Applications of quadratic D-forms to generalized quadratic forms
In this paper, we study generalized quadratic forms over a division algebra with involution of the first kind in characteristic two. For this, we associate to every generalized quadratic from a quadratic form on its underlying vector space. It is shown that this form determines the isotropy behavior and the isometry class of generalized quadratic forms.
متن کاملQuadratic $alpha$-functional equations
In this paper, we solve the quadratic $alpha$-functional equations $2f(x) + 2f(y) = f(x + y) + alpha^{-2}f(alpha(x-y)); (0.1)$ where $alpha$ is a fixed non-Archimedean number with $alpha^{-2}neq 3$. Using the fixed point method and the direct method, we prove the Hyers-Ulam stability of the quadratic $alpha$-functional equation (0.1) in non-Archimedean Banach spaces.
متن کاملOut of sample forecasts of quadratic variation
We compare the forecasts of Quadratic Variation given by the Realized Volatility (RV) and the Two Scales Realized Volatility (TSRV) computed from high frequency data in the presence of market microstructure noise, under several different dynamics for the volatility process and assumptions on the noise. We show that TSRV largely outperforms RV, whether looking at bias, variance, RMSE or out-of-s...
متن کاملQuadratic Irrationals, Quadratic Ideals and Indefinite Quadratic Forms II
Let D = 1 be a positive non-square integer and let δ = √ D or 1+ √ D 2 be a real quadratic irrational with trace t = δ + δ and norm n = δδ. Let γ = P+δ Q be a quadratic irrational for positive integers P and Q. Given a quadratic irrational γ, there exist a quadratic ideal Iγ = [Q, δ + P ] and an indefinite quadratic form Fγ(x, y) = Q(x−γy)(x−γy) of discriminant Δ = t − 4n. In the first section,...
متن کاملGARCH Model Estimation Using Estimated Quadratic Variation
We consider estimates of the parameters of GARCH models obtained using auxiliary information on latent variance which may be available from higher-frequency data, for example from an estimate of the daily quadratic variation such as the realized variance. We obtain consistent estimates of the parameters of the infinite ARCH representation via a regression using the estimated quadratic variation...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Bernoulli
سال: 2023
ISSN: ['1573-9759', '1350-7265']
DOI: https://doi.org/10.3150/22-bej1466