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.     

论恒力作用下质点的相对论运动

在相对论情况下，讨论了受恒力作用的质点的运动规律。     

Tribute to Endre Csáki and Pál Révész

Summary This article provides a glimpse of some of the highlights of the joint work of Endre Csáki and Pál Révész since 1979. The topics of this short exploration of the rich stochastic milieu of this inspiring collaboration revolve around Brownian motion, random walks and their long excursions, local times and additive functionals, iterated processes, almost sure local and global central limit theorems, integral functionals of geometric stochastic processes, favourite sites--favourite values and jump sizes for random walk and Brownian motion, random walking in a random scenery, and large void zones and occupation times for coalescing random walks.     

On Weak Solutions of an Integral Equation Driven by a p-Semimartingale of Special Type

We consider the integral equation driven by a standard Brownian motion and by a fractional Brownian motion. Sufficient conditions under which the equation has a weak solution are obtained.     

In-time motion adjustment in laser cladding manufacturing process for improving dimensional accuracy and surface finish of the formed part

This paper presents in-time motion adjustment in laser cladding manufacturing process as a means to improve dimensional accuracy and surface finish of the built part. Defects occurring during laser cladding degrade the part quality such as dimensional accuracy and surface finish. In this paper, in-time motion adjustment strategy was presented to remedy and eliminate defects occurring during laser cladding to improve the dimensional accuracy and surface finish. Based on the relationship between the motion of laser head relative to the growing part and other parameters in effects on clad profile, the laser traverse speed, stand-off distance and laser approach orientation to the existing clad layer were adjusted by instructions from a close-loop control system in real time to remedy and eliminate defects. The results of the experiments verified the effects of in-time motion adjustment on dimensional accuracy and surface finish.     

Some Notes about Tanaka''''s Equation

ＳｏｍｅＮｏｔｅｓａｂｏｕｔＴａｎａｋａ＇ｓＥｑｕａｔｉｏｎＹａｎＺｈｉｂｉｎ（严质彬）（ＤｅｐａｒｔｍｅｎｔｏｆＭａｔｈｅｍａｔｉｃｓ，ＨａｒｂｉｎＩｎｓｔｉｔｕｔｅｏｆＴｅｃｈｎｏｌｏｇｙ，Ｈａｒｂｉｎ，１５０００１）ＡｂｓｔｒａｃｔＬｅｔ｛Ｗｔ...     

THE RELATIONSHIP BETWEEN PROJECTIVE GEOMETRIC AND RATIONAL QUADRATIC B-SPLINE CURVES

For two rational quadratic B-spline curves with same control vertexes, the cross ratio of four eollinear points are represented; which are any one of the vertexes, and the two points that the ray initialing from the vertex intersects with the corresponding segments of the twocurves, and the point the ray intersecting with the connecting line between the two neighboring vertexes. Different from rational quadratic Beeier curves, the value is generally related with the loeation of the ray, and the necessary and sufficient condition o5 the ratio being independent of the ray‘s loeation is showed. Alsn another cross ratio o5 the following four collinear points are suggested, i.e. one vertex, the points that the ray from the initlal vertex intersects respectivdy with the curve segmentt the line connecting the segments end points, and the line connecting the two neighboring vertexes. This cross ratio is concerned only whh the ray‘s location, butnot with the weights of the curve. Furthermore, the cross ratio is projective invariant under the projective transformation between the two segments.     

GIRSANOV'S THEOREM ON ABSTRACT WIENER SPACES

ＧＩＲＳＡＮＯＶ’ＳＴＨＥＯＲＥＭＯＮＡＢＳＴＲＡＣＴＷＩＥＮＥＲＳＰＡＣＥＳＺＨＡＮＧＹＩＮＮＡＮＡｂｓｔｒａｃｔＬｅｔ（Ｅ，Ｈ，μ）ｂｅａｎａｂｓｔｒａｃｔＷｉｅｎｅｒｓｐａｃｅｉｎｔｈｅｓｅｎｓｅｏｆＬ．Ｇｒｏｓ．Ｉｔｉｓｐｒｏｖｅｄｔｈ...     

A Note on Geometric Structures of Linear Ordered Orthogonal Arrays and (T,M,S)-Nets of Low Strength

The equivalent geometrical configurations of linear ordered orthogonal arrays are determined when their strengths are 3 and 4. Existence of such geometrical configurations is investigated. They are also useful in the study of (T, M, S)-nets.     

How to Build Robust Shared Control Systems

Previous researchers have designed shared control schemes with a view to minimising the likelihood that participants will conspire to perform an unauthorised act. But, human nature being what it is, systems inevitably fail; so shared control schemes should also be designed so that the police can identify conspirators after the fact. This requirement leads us to search for schemes with sparse access structures. We show how this can be done using ideas from coding theory. In particular, secret sharing schemes based on geometric codes whose dual [n,k,d] codes have d and n as their only nonzero weights are suitable. We determine their access structures and analyse their properties. We have found almost all of them, and established some relations among codes, designs and secret-sharing schemes.