Optimization of joint p-variations of Brownian semimartingales

DOI10.1214/ECP.V19-2975MaRDI QIDQ457782zbMATHOpenAlexFDO

Authors Emmanuel Gobet, Nicolas Landon

Publication date 29 September 2014

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/ecp.v19-2975

zbMATH Keywords

almost sure convergence\(p\)-variationsBrownian semimartingalesoptimal stopping times

Mathematics Subject Classification ID

Brownian motion (60J65) Strong limit theorems (60F15) Generalizations of martingales (60G48) Sample path properties (60G17) Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

• Optimal discretization of stochastic integrals driven by general Brownian semimartingale
• A central limit theorem for realised power and bipower variation of continuous semimartingales
• A generalized occupation time formula for continuous semimartingales
• Spectral characterization of the quadratic variation of mixed Brownian-fractional Brownian motion
• A semimartingale Bellman equation and the variance-optimal martingale measure

Cited in

(1)

• Optimal discretization of stochastic integrals driven by general Brownian semimartingale

This page was built for publication: Optimization of joint \(p\)-variations of Brownian semimartingales

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q457782)