Truncated variation of stochastic process - its properties and applications
2011/01/B/ST1/05089
Keywords
Descriptors
- ST1_13: Rachunek prawdopodobieństwa i statystyka matematyczna
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
Voivodeship: mazowieckie
Principal investigator (from the host institution)
Number of co-investigators in the project: 3
Call
OPUS 1 – announced on 2011-03-15
- Amount awarded
- 117 450 PLN
- Project start date
- 2011-12-01
- Project end date
- 2013-11-30
- Project duration
- 24 months (the same as in the proposal)
- Project status
- Project settled
Equipment purchased [PL]
- Laptop Sony, Oprogramowanie Office Pro plus 2012. Cost: 3 400 PLN
- Oprogramowanie Mathematica 8.0 Single, User Win Edu. Cost: 6 800 PLN
Information in the final report
Publication in academic press/journals (7)
-
On the Generalisation of the Hahn-Jordan Decomposition for Real Cadlag Functions
- Authors:
- Rafał Łochowski
- Academic press:
- Colloquium Mathematicum (year: 2013, volume: 132, pages: 121-138), Publisher: ARS POLONA-RUCH
- Status:
- Published
- DOI:
- 10.4064/cm132-1-10 – link to the publication
-
INTEGRABILITY AND CONCENTRATION OF SAMPLE PATHS' TRUNCATED VARIATION OF FRACTIONAL BROWNIAN MOTIONS, DIFFUSIONS AND LEVY PROCESSES
- Authors:
- Witold Bednorz, Rafał Łochowski
- Academic press:
- Bernoulli (year: 2015, volume: 21(1), pages: 437-464), Publisher: INTERNATIONAL STATISTICAL INSTITUTE
- Status:
- Published
- DOI:
- 10.3150/13-BEJ574 – link to the publication
-
ON AN UPPER GAIN BOUND FOR STRATEGIES WITH CONSTANT AND PROPORTIONAL NUMBER OF ASSETS TRADED
- Authors:
- Rafał Łochowski
- Academic press:
- QUANTITATIVE METHODS IN ECONOMICS (year: 2013, volume: XIV No. 2, pages: 29-38), Publisher: SGGW
- Status:
- Published
- DOI:
- link to the publication
-
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 (year: 2015, volume: 38(3), pages: 403-419), Publisher: Wiley-Blackwell
- Status:
- Published
- DOI:
- 10.1002/mma.3077 – link to the publication
-
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 (year: 2014, volume: 19 No. 10, pages: 12055), Publisher: University of Washington, Department of Mathematics
- Status:
- Published
- DOI:
- 10.1214/EJP.v19-2644 – link to the publication
-
On pathwise stochastic integration with respect to semimartingales
- Authors:
- Rafał Łochowski
- Academic press:
- Probability and Mathematical Statistics (year: 2014, volume: 34(1), pages: 23-43), Publisher: Wydawnictwo Uniwersytetu Wrocławskiego
- Status:
- Published
- DOI:
- link to the publication
-
On truncated variation, upward truncated variation and downward truncated variation for diffusions
- Authors:
- Rafał Łochowski, Piotr Miłoś
- Academic press:
- Stochastic Processes and their Applications (year: 2013, volume: 123, pages: 446–474), Publisher: Elsevier
- Status:
- Published
- DOI:
- 10.1016/j.spa.2012.08.007 – link to the publication