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.     

CONVERGENCE OF CASCADE ALGORITHMS AND SMOOTHNESS OF REFINABLE DISTRIBUTIONS

In this paper, the author at first develops a method to study convergence of the cascade algorithm in a Banach space without stable assumption on the initial (see Theorem 2.1), and then applies the previous result on the convergence to characterizing compactly supported refinable distributions in fractional Sobolev spaces and Holder continuous spaces (see Theorems 3.1, 3.3, and 3.4). Finally the author applies the above characterization to choosing appropriate initial to guarantee the convergence of the cascade algorithm (see Theorem 4.2).     

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.     

FAST ACCURATE PREDICTION OF BLANK SHAPE IN SHEET METAL FORMING

By using the Finite Element Inverse Approach based on the Hill quadratic anisotrop-ically yield criterion and the quadrilateral element, a fast analyzing software-FASTAMP for the sheet metal forming is developed. The blank shapes of three typical stampings are simulated and compared with numerical results given by the AUTOFORM software and experimental results, respectively. The comparison shows that the FASTAMP can predict blank shape and strain distribution of the stamping more precisely and quickly than those given by the traditional methods and the AUTOFORM.     

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.     

Boundedness of Multilinear Operators on Herz Type Spaces： Extreme Cases

In this paper, two classes of closely related multilinear singular and fractional integrals,which include the commutators as special cases, are studied and their boundedness on Herz type spaces is discussed. In fact, it is proved that these operators are actually not bounded in certain extreme cases.     

Some Notes about Tanaka''''s Equation

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

GIRSANOV'S THEOREM ON ABSTRACT WIENER SPACES

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

Poly(L‐lysine) and clay nanocomposite with desired matrix secondary structure: Effects of polypeptide molecular weight

Nanocomposites (NC) were formed using cationic poly(L ‐lysine) (PLL), a semicrystalline polypeptide, that was reinforced by sodium montmorillonite (MMT) clay via solution intercalation technique. By varying solution conditions such as pH, temperature, and polypeptide concentration in the presence of clay platelets, the secondary structure of PLL was controllably altered into α‐helical, β‐sheet, and random coil. The high molecular weight polypeptide shows a strong propensity to fold into the β‐sheet structure when cast as films, irrespective of the initial secondary structure in solution. Nanocomposite local morphology confirms intercalated MMT platelets with PLL over a wide range of compositions. © 2006 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 45: 239–252, 2007.     

Functional Limit Theorems for Multiparameter Fractional Brownian Motion

We prove a general functional limit theorem for multiparameter fractional Brownian motion. The functional law of the iterated logarithm, functional Lévy’s modulus of continuity and many other results are its particular cases. Applications to approximation theory are discussed.