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arXiv 1005.4349math.PR
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混合布朗分数布朗运动二次变分的谱特征

Spectral characterization of the quadratic variation of mixed Brownian fractional Brownian motion

Ehsan Azmoodeh, Esko Valkeila

摘要:

Dzhaparidze和Spreij [5]证明了半鞅的二次变差可以用随机周期图来近似。我们表明,同样的近似是有效的一类特殊的连续随机过程。此类既包含半鞅又包含非半鞅。其动机部分来自Bender等人[2]最近的工作,其中表明对数收益的二次变化决定了对冲策略。

英文摘要:

Dzhaparidze and Spreij [5] showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid for a special class of continuous stochastic processes. This class contains both semimartingales and non-semimartingales. The motivation comes partially from the recent work by Bender et al. [2], where it is shown that the quadratic variation of the log-returns determines the hedging strategy.

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