Browsing by Subject "Quadratic variation"
Now showing items 1-3 of 3
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Identification of currency jumps in the Rand to US Dollar exchange rate
(North-West University (South Africa), 2021)Modeling most financial assets, including exchange rates, proves to be a rather difficult task. One cause of this difficulty is the occasional unpredictable and large price movements that occur, known as jumps. Thus, ... -
The quadratic variation of continuous time stochastic processes in vector lattices
(Elsevier, 2017)We define and study order continuity, topological continuity, γ-Hölder-continuity and Kolmogorov–Čentsov-continuity of continuous-time stochastic processes in vector lattices and show that every such kind of continuous ... -
Quadratic variation of martingales in Riesz spaces
(Elsevier, 2014)We derive quadratic variation inequalities for discrete-time martingales, sub- and supermartingales in the measure-free setting of Riesz spaces. Our main result is a Riesz space analogue of Austinʼs sample function theorem, ...