Spectral characterization of the quadratic variation of mixed Brownian-fractional Brownian motion

被引：0

作者：

Azmoodeh E. ^{[1
]}

Valkeila E. ^{[1
]}

机构：

[1] Department of Mathematics and Systems Analysis, Aalto University, 00076 Aalto

来源：

Statistical Inference for Stochastic Processes | 2013年 / 16卷 / 2期

基金：

芬兰科学院;

关键词：

Fractional Brownian motion; Quadratic variation; Randomized periodogram;

D O I：

10.1007/s11203-013-9079-9

中图分类号：

学科分类号：

摘要：

Dzhaparidze and Spreij (Stoch Process Appl, 54:165-174, 1994) showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid for a special class of continuous stochastic processes. This class contains both semimartingales and non-semimartingales. The motivation comes partially from the recent work by Bender et al. (Finance Stoch, 12:441-468, 2008), where it is shown that the quadratic variation of the log-returns determines the hedging strategy. © 2013 Springer Science+Business Media Dordrecht.

引用

页码：97 / 112

页数：15

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