Open AccessBook
Martingale Limit Theory and Its Application
Reads0
Chats0
About:
The article was published on 2014-09-23 and is currently open access. It has received 3075 citations till now. The article focuses on the topics: Local martingale & Doob's martingale inequality.read more
Citations
More filters
Journal ArticleDOI
The central limit theorem for euclidean minimal spanning trees ii
TL;DR: In this article, the authors studied the central limit theorems for E L (X 1,…, X n ) and N ( X 1, ε, ε ε, δ, δ ε ) of a minimal spanning tree on X i : i ≥ 1.i.d. points in Ω d, d ≥ 2.
Journal ArticleDOI
Volatility analysis with realized GARCH-Itô models
Xinyu Song,Donggyu Kim,Huiling Yuan,Xiangyu Cui,Zhiping Lu,Young Zhou,Yazhen Wang,Yazhen Wang +7 more
TL;DR: In this paper, a unified approach for modeling high-frequency financial data that can accommodate both the continuous-time jump-diffusion and discrete-time realized GARCH model by embedding the discrete GARCH structure in the continuous instantaneous volatility process is introduced.
Journal ArticleDOI
Asymptotically efficient stochastic approximation
TL;DR: Asymptotic efficiency of a stochastic approximation algorithm is proved under weak conditions: no growth rate restriction is imposed on the regression function; wide class of observation noises is treated.
Journal ArticleDOI
Throughput properties of fair policies in ring networks
TL;DR: The authors study a policy that is based on the idea of allocating transmission quotas to the nodes and show that by appropriately allocating the quotas, policies that satisfy general optimality criteria-in particular criteria related to fairness-can be designed.
Journal ArticleDOI
Limit Distributions of Directionally Reinforced Random Walks
Lajos Horváth,Qi-Man Shao +1 more
TL;DR: In this article, it was shown that the limit distribution is a Brownian motion if the time between changes of directions has a finite second moment, and is a stable process in a domain of attraction of a stable law.