42 research outputs found
Pathwise integration with respect to paths of finite quadratic variation
We study a pathwise integral with respect to paths of finite quadratic
variation, defined as the limit of non-anticipative Riemann sums for
gradient-type integrands. We show that the integral satisfies a pathwise
isometry property, analogous to the well-known Ito isometry for stochastic
integrals. This property is then used to represent the integral as a continuous
map on an appropriately defined vector space of integrands. Finally, we obtain
a pathwise 'signal plus noise' decomposition for regular functionals of an
irregular path with non-vanishing quadratic variation, as a unique sum of a
pathwise integral and a component with zero quadratic variation.Comment: To appear in: Journal de Mathematiques Pures et Appliquee
Rough differential equations with path-dependent coefficients
We establish the existence of solutions to path-dependent rough differential
equations with non-anticipative coefficients. Regularity assumptions on the
coefficients are formulated in terms of horizontal and vertical derivatives
Dinamika Pers Pasca Reformasi di Kota Samarinda: Sebuah Kajian Historis Tahun 1998-2003
Pers menurut UU Nomor 40 Tahun 1999 yaitu lembaga sosial yang menyelenggarakan kegiatan jurnalistik untuk memenuhi kebutuhan masyarakat dan informasi, pers sebagai media komunikasi cetak maupun elektronik. Penelitian ini difokuskan pada kondisi pers Pasca Reformasi di Kota Samarinda tahun 1998-2003. Penelitian ini menggunakan metode penelitian sejarah yang terdiri dari heuristik, kritik, interpretasi, dan historiografi. Pengumpulan data dilakukan melalui metode wawancara mendalam dan studi kepustakaan dari beberapa buku dan jurnal yang relevan. Dinamika pers umum melalui perjalanan yang cukup panjang, dimulai dari zaman Orla dan Orba yang dapat dikatakan kebebasan pers cukup sulit didapat, hingga munculnya kebebasan pers masa pemerintahan BJ Habibie dengan disahkannya UU Nomor 40 Tahun 1999. Pers di Kota Samarinda tahun 1998-2003 ditandai dengan banyaknya bermunculan media lokal, surat kabar, bahkan organisasi-organisasi yang jumlahnya lebih dari 100, hal ini tidak dapat terlepas dari adanya kebijakan kebebasan pers di Indonesia masa Pasca Reformasi
Excursion Risk
The risk and return profiles of a broad class of dynamic trading strategies,
including pairs trading and other statistical arbitrage strategies, may be
characterized in terms of excursions of the market price of a portfolio away
from a reference level. We propose a mathematical framework for the risk
analysis of such strategies, based on a description in terms of price
excursions, first in a pathwise setting, without probabilistic assumptions,
then in a Markovian setting.
We introduce the notion of delta-excursion, defined as a path which deviates
by delta from a reference level before returning to this level. We show that
every continuous path has a unique decomposition into delta-excursions, which
is useful for the scenario analysis of dynamic trading strategies, leading to
simple expressions for the number of trades, realized profit, maximum loss and
drawdown. As delta is decreased to zero, properties of this decomposition
relate to the local time of the path.
When the underlying asset follows a Markov process, we combine these results
with Ito's excursion theory to obtain a tractable decomposition of the process
as a concatenation of independent delta-excursions, whose distribution is
described in terms of Ito's excursion measure. We provide analytical results
for linear diffusions and give new examples of stochastic processes for
flexible and tractable modeling of excursions. Finally, we describe a
non-parametric scenario simulation method for generating paths whose excursion
properties match those observed in empirical data.Comment: 36 pages; 10 figure
PRINCIPAL DIRECTIONS OF EXTRABUDGETARY FUNDS IN HIGHER VOCATIONAL EDUCATION SYSTEM
The efforts of state higher educational institutions to attract extrabudgetary funds are analyzed. The analysis of the current problems, sources and prospects of income from the independent statutory activity is made
Rough differential equations with path-dependent coefficients
We establish the existence of solutions to path-dependent rough differential equations with non-anticipative coefficients. Regularity assumptions on the coefficients are formulated in terms of horizontal and vertical derivatives
Pathwise integration with respect to paths of finite quadratic variation
We study a pathwise integral with respect to paths of finite quadratic variation, defined as the limit of non-anticipative Riemann sums for gradient-type integrands. We show that the integral satisfies a pathwise isometry property, analogous to the well-known Ito isometry for stochastic integrals. This property is then used to represent the integral as a continuous map on an appropriately defined vector space of integrands. Finally, we obtain a pathwise ‘signal plus noise’ decomposition for regular functionals of an irregular path with non-vanishing quadratic variation, as a unique sum of a pathwise integral and a component with zero quadratic variation
Digital economy, the development ways of cryptocurrency
The article is devoted to new directions of development of the digital economy. The analysis of technology development and cryptocurrency blokcheyn. Analyzed the problems and prospects of transition to digital economy technology
Pathwise Integration and functional calculus for paths with finite quadratic variation
This thesis develops a pathwise calculus for non-anticipative functionals of paths with finite quadratic variation and studies its relation with the theory of controlled paths.
We study the mathematical properties of a pathwise integral defined as a limit of Riemann sums for a class of non-anticipative gradient-type integrands. We establish for this integral a pathwise isometry property, analogous to the well-known Ito isometry for stochastic integrals, and obtain a pathwise 'signal plus noise' decomposition as a unique sum of a pathwise integral and a component with zero quadratic variation for regular functionals of an irregular path with non-vanishing quadratic variation. Our results are strictly pathwise but apply to typical paths of continuous semimartingales.
In the second part of the thesis we explore the relations between this non-anticipative functional calculus and the theory of controlled paths. We show that a regular functional generates a family of controlled paths whose `Gubinelli derivative' may be represented as a directional derivative. Conversely, we show that a family of controlled paths parameterized by the underlying control function may be represented as a vertically differentiable functional. This result leads to a chain rule for controlled paths and systematic way of constructing them.
In the last part of the thesis we extend these results to functionals of discontinuous paths which are right-continuous with left limits.Open Acces