Estimation of integrated volatility in stochastic volatility models

In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log‐returns). We derive consistency and distributional results for the estimators given high‐frequency data, especially taking into account what kind of process we may add to our model without affecting the estimate of the integrated volatility. This may on the one hand be interpreted as a possible flexibility in modelling, for example adding jumps or even leaving the framework of semimartingales by adding a fractional Brownian motion, or on the other hand as robustness against model misspecification. We will discuss possible choices of p under different model assumptions and irregularly spaced data. Copyright © 2005 John Wiley & Sons, Ltd.     

On Best Approximations from RS-sets in Complex Banach Spaces

The concept of an RS-set in a complex Banach space is introduced and the problem of best approximation from an RS-set in a complex space is investigated. Results consisting of characterizations, uniqueness and strong uniqueness are established,     

Absorbing boundary conditions for reaction-diffusion equations

We treat here of the question of absorbing boundary conditionsfor nonlinear diffusion equations. We use the conditions designedfor the linear equation, we prove them to be well posed forthe nonlinear problem, and through numerical experiments thatthey are well suited for reaction–diffusion equations.     

Slutsky定理的一个推广

本文应用紧集上的连续函数是一致连续的性质，推广并证明了著名的Slutsky定理。     

数字全息图变频采样研究

根据Whittaker-Shannon抽样定理,对菲涅耳全息图进行变频率采样,保证整个全息图各部分采样频率为该处相应空间频率的两倍,从而完全消除数字全息图由于采样冗余而带来全息图的信息冗余.并且,对变频采样后的全息图进行线性插值恢复即可获得良好的再现像质.实验和理论均证明了该方法的有效性和可行性,为全息图的信息存贮与传输提出一条新的思路.     

On the degree of convergence of lemniscates in finite connected domains

For an arbitrary bounded closed set E in the complex plane with complement Ω of finite connectivity, we study the degree of convergence of the lemniscates in Ω.     

ASYMPTOTIC NORMALITY OF KERNEL ESTIMATES OF A DENSITY FUNCTION UNDER ASSOCIATION DEPENDENCE

Let {X_n, n≥1} be a strictly stationary sequence of random variables, whichare either associated or negatively associated, f(·) be their common density. In this paper,the author shows a central limit theorem for a kernel estimate of f(·) under certain regularconditions.     

Ergodic isospectral theory of the Lax pairs of Euler equations with harmonic analysis flavor

Isospectral theory of the Lax pairs of both 3D and 2D Euler equations of inviscid fluids is developed. Eigenfunctions are represented through an ergodic integral. The Koopman group and mean ergodic theorem are utilized. Further harmonic analysis results on the ergodic integral are introduced. The ergodic integral is a limit of the oscillatory integral of the first kind.

     

Krylov-Bogolyubov averaging of asymptotically autonomous differential equations

We apply the Krylov and Bogolyubov asymptotic integration procedure to asymptotically autonomous systems. First, we consider linear systems with quasi-periodic coefficient matrix multiplied by a scalar factor vanishing at infinity. Next, we study the asymptotically autonomous Van-der-Pol oscillator.

     

Sufficient conditions of non‐uniqueness for the Coulomb friction problem

We consider the Signorini problem with Coulomb friction in elasticity. Sufficient conditions of non‐uniqueness are obtained for the continuous model. These conditions are linked to the existence of real eigenvalues of an operator in a Hilbert space. We prove that, under appropriate conditions, real eigenvalues exist for a non‐local Coulomb friction model. Finite element approximation of the eigenvalue problem is considered and numerical experiments are performed. Copyright © 2003 John Wiley & Sons, Ltd.