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1.
2.
Jeannette H. C. Woerner 《商业与工业应用随机模型》2005,21(1):27-44
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. 相似文献
3.
We examine several interesting relationships and expressions involving Fourier-Feynman transform, convolution product and
first variation for functionals in the Fresnel class F(B) of an abstract Wiener space B. We also prove a translation theorem and Parseval's identity for the analytic Feynman integral.
This revised version was published online in June 2006 with corrections to the Cover Date. 相似文献
4.
MENG Yuan-yao 《广西民族大学学报》2008,(2)
壮语里t-(t‘-)>s-的音变现象是存在的,不论是汉语,或者是壮语,它们的内部或两者之间都存在着s-与t-(t‘-)对应的规律。 相似文献
5.
It is shown that the potential perturbation that shifts a chosen standing wave in space is a block of potential barrier and well for every wave bump between neighbouring knots. The algorithms shifting the range of the primary localization of a chosen bound state in a potential well of finite width are as well applicable to the scattering functions if states of the continuous spectrum are considered as bound states normalized to unity but distributed on an infinite interval with vanishing density. The potential perturbations of the same type on the half-axis concentrate the scattering wave at the origin, thus creating a bound state embedded into the continuous spectrum (zero width resonance). 相似文献
6.
集值Lebesgue—Stieltjes积分 总被引:8,自引:2,他引:6
本文首先刻划了B(R_ )上的集值测度,其次建立了(R_ B(R_ ))上的集值Lebesgue-Stieltjes积分.最后,进—步建立了集值随机Lebesgue-Stietjes积分的理论. 相似文献
7.
The estimation-valued property of B-valued asymptotic martingale 总被引:2,自引:0,他引:2
KONG Fanliang 《自然科学进展(英文版)》2006,16(7):773-776
In this paper, with the Doob decomposition of B-valued asymptotic martingale, we study the estimation-valued property of B-valued asymptotic martingale in Banach space B,which has the Radon-Nikodym Property and is dual-separable, and give a series of result and proof. 相似文献
8.
Alexandru V. Asimit 《Insurance: Mathematics and Economics》2007,41(1):53-61
This paper exploits a stochastic representation of bivariate elliptical distributions in order to obtain asymptotic results which are determined by the tail behavior of the generator. Under certain specified assumptions, we present the limiting distribution of componentwise maxima, the limiting upper copula, and a bivariate version of the classical peaks over threshold result. 相似文献
9.
Temperature effects on deposition rate of silicon nitride films were characterized by building a neural network prediction model. The silicon nitride films were deposited by using a plasma enhanced chemical vapor deposition system and process parameter effects were systematically characterized by 26−1 fractional factorial experiment. The process parameters involved include a radio frequency power, pressure, temperature, SiH4, N2, and NH3 flow rates. The prediction performance of generalized regression neural network was drastically improved by optimizing multi-valued training factors using a genetic algorithm. Several 3D plots were generated to investigate parameter effects at various temperatures. Predicted variations were experimentally validated. The temperature effect on the deposition rate was a complex function of parameters but N2 flow rate. Larger decreases in the deposition rate with the temperature were only noticed at lower SiH4 (or higher NH3) flow rates. Typical effects of SiH4 or NH3 flow rate were only observed at higher or lower temperatures. A comparison with the refractive index model facilitated a selective choice of either SiH4 or NH3 for process optimization. 相似文献
10.
徐宝钢 《辽宁工程技术大学学报(自然科学版)》1987,(4)
本文证明了一阶线性非齐次微分方程y'+P(x)·y=f(x)三个求解方法:参数变易法、积分公式、积分因子法之间的等同关系.从参数变易法中引出一个简化的积分公式.事实上此公式恰是对用参数变易法解高阶线性非齐次微分方程时对n=1的拓广.最后以实例验证此公式的简易. 相似文献