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Information on the principal investigator and host institution

Information of the project and the call

Keywords

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Truncated variation of stochastic process - its properties and applications

2011/01/B/ST1/05089

Keywords:

variation concentration of measure convergence of stochastic processes stochastic integral

Descriptors:

  • ST1_13: Probability and statistics

Panel:

ST1 - Mathematics: all areas of mathematics, pure and applied, as well as mathematical foundations of computer science, physics and statistics

Host institution :

Szkoła Główna Handlowa w Warszawie, Kolegium Analiz Ekonomicznych

woj. mazowieckie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr Rafał Łochowski 

Number of co-investigators in the project: 3

Call: OPUS 1 - announced on 2011-03-15

Amount awarded: 117 450 PLN

Project start date (Y-m-d): 2011-12-01

Project end date (Y-m-d): 2013-11-30

Project duration:: 24 months (the same as in the proposal)

Project status: Project settled

Equipment purchased [PL]

  1. Laptop Sony, Oprogramowanie Office Pro plus 2012 (3 400 PLN)
  2. Oprogramowanie Mathematica 8.0 Single, User Win Edu (6 800 PLN)

Information in the final report

  • Publication in academic press/journals (7)
  1. ON AN UPPER GAIN BOUND FOR STRATEGIES WITH CONSTANT AND PROPORTIONAL NUMBER OF ASSETS TRADED
    Authors:
    Rafał Łochowski
    Academic press:
    QUANTITATIVE METHODS IN ECONOMICS (rok: 2013, tom: XIV No. 2, strony: 29-38), Wydawca: SGGW
    Status:
    Published
    DOI:
    brak - link to the publication
  2. INTEGRABILITY AND CONCENTRATION OF SAMPLE PATHS' TRUNCATED VARIATION OF FRACTIONAL BROWNIAN MOTIONS, DIFFUSIONS AND LEVY PROCESSES
    Authors:
    Witold Bednorz, Rafał Łochowski
    Academic press:
    Bernoulli (rok: 2015, tom: 21(1), strony: 437-464), Wydawca: INTERNATIONAL STATISTICAL INSTITUTE
    Status:
    Published
    DOI:
    10.3150/13-BEJ574 - link to the publication
  3. Integral and local limit theorems for level crossings of diffusions and the Skorohod problem
    Authors:
    Rafał Łochowski, Raouf Ghomrasni
    Academic press:
    Electronic Journal of Probability (rok: 2014, tom: 19 No. 10, strony: 12055), Wydawca: University of Washington, Department of Mathematics
    Status:
    Published
    DOI:
    10.1214/EJP.v19-2644 - link to the publication
  4. On the Generalisation of the Hahn-Jordan Decomposition for Real Cadlag Functions
    Authors:
    Rafał Łochowski
    Academic press:
    Colloquium Mathematicum (rok: 2013, tom: 132, strony: 121-138), Wydawca: ARS POLONA-RUCH
    Status:
    Published
    DOI:
    10.4064/cm132-1-10 - link to the publication
  5. On truncated variation, upward truncated variation and downward truncated variation for diffusions
    Authors:
    Rafał Łochowski, Piotr Miłoś
    Academic press:
    Stochastic Processes and their Applications (rok: 2013, tom: 123, strony: 446–474), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2012.08.007 - link to the publication
  6. On pathwise stochastic integration with respect to semimartingales
    Authors:
    Rafał Łochowski
    Academic press:
    Probability and Mathematical Statistics (rok: 2014, tom: 34(1), strony: 23-43), Wydawca: Wydawnictwo Uniwersytetu Wrocławskiego
    Status:
    Published
    DOI:
    brak - link to the publication
  7. The play operator, the truncated variation and the generalisation of the Jordan Decomposition
    Authors:
    Rafał Łochowski, Raouf Ghomrasni
    Academic press:
    Mathematical Methods in the Applied Sciences (rok: 2015, tom: 38(3), strony: 403-419), Wydawca: Wiley-Blackwell
    Status:
    Published
    DOI:
    10.1002/mma.3077 - link to the publication

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