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Stochastic process
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27
limit theorems
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Jacod, Jean
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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General compound hawkes processes in limit order books
Sviščuk, Anatolij
;
Huffman, Aiden
- In:
Risks : open access journal
8
(
2020
)
1/28
,
pp. 1-25
Numbers (LLN) and a Functional Central
Limit
Theorems
(FCLT) for several specific variations. We apply several of these FCLTs …
Persistent link: https://www.econbiz.de/10012203654
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2
Stochastic approximation algorithms for superquantiles estimation
Bercu, Bernard
;
Costa, Manon
;
Gadat, Sébastien
-
2020
Persistent link: https://www.econbiz.de/10012286349
Saved in:
3
Asymptotic optimality of power-of-d load balancing in large-scale systems
Mukherjee, Debankur
;
Borst, Sem C.
;
Leeuwaarden, Johan …
- In:
Mathematics of operations research
45
(
2020
)
4
,
pp. 1535-1571
Persistent link: https://www.econbiz.de/10012320343
Saved in:
4
Limit of random measures associated with the increments of a brownian semimartingale
Jacod, Jean
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
4
,
pp. 526-569
Persistent link: https://www.econbiz.de/10011987890
Saved in:
5
Comment on: limit of random measures associated with the increments of a Brownian Semimartingale : asymptotic behavior of local times related statistics for fractional Brownian mot...
Podolskij, Mark
;
Rosenbaum, Mathieu
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
4
,
pp. 588-598
Persistent link: https://www.econbiz.de/10011987969
Saved in:
6
The microstructural foundations of leverage effect and rough volatility
El Euch, Omar
;
Fukasawa, Masaaki
;
Rosenbaum, Mathieu
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 241-280
Persistent link: https://www.econbiz.de/10011945670
Saved in:
7
Confidence regions for stochastic variational inequalities
Lu, Shu
;
Amarjit, Budhiraja
- In:
Mathematics of operations research
38
(
2013
)
3
,
pp. 545-568
Persistent link: https://www.econbiz.de/10009787363
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