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2014 Optimization of joint $p$-variations of Brownian semimartingales
Emmanuel Gobet, Nicolas Landon
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Electron. Commun. Probab. 19: 1-14 (2014). DOI: 10.1214/ECP.v19-2975

Abstract

We study the optimization of the joint $(p^Y,p^Z)$-variations of two continuous semimartingales $(Y,Z)$ driven by the same Itô process $X$. The $p$-variations are defined on random grids made of finitely many stopping times. We establish an explicit asymptotic lower bound for our criterion, valid in rather great generality on the grids, and we exhibit minimizing sequences of hitting time form. The asymptotics is such that the spatial increments of $X$ and the number of grid points are suitably converging to 0 and $+\infty$ respectively.

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Emmanuel Gobet. Nicolas Landon. "Optimization of joint $p$-variations of Brownian semimartingales." Electron. Commun. Probab. 19 1 - 14, 2014. https://doi.org/10.1214/ECP.v19-2975

Information

Accepted: 15 June 2014; Published: 2014
First available in Project Euclid: 7 June 2016

zbMATH: 1333.60081
MathSciNet: MR3225867
Digital Object Identifier: 10.1214/ECP.v19-2975

Subjects:
Primary: 60F15
Secondary: 60G17, 60G40

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