7 problems

Special-semimartingale convergence conjecture. Theorem4.3 should remain valid for $X$ if, in conditions (b$”$) and (c), the process $A$ is replaced by its total variation process…

Manifold semimartingale compatibility conjecture. An analogous result to the Euclidean Brownian-motion case should hold for manifolds and general driving semimartingales: under an…

Let $Y$ be the mixture process consisting of an independent Brownian motion and a generalized fractional Brownian motion, parametrized by $(\alpha,\gamma)$. Assume … This is region…

Let $Y$ be the mixed generalized fractional Brownian motion process, obtained by adding an independent Brownian motion to the generalized fractional Brownian motion, and let $H$ de…

Consider the nonparametric setting in which the jump activity index is state-dependent, written as $\alpha(x)$, and let $h_n$ denote the high-frequency scale used by the estimator.…

The paper considers a general semimartingale experiment in which spectral estimators are used to estimate integrated volatility and covolatility, and asymptotic efficiency is asses…

Let $f:\mathbb{R}^d\rightarrow\mathbb{R}$ be convex, let $X$ be a continuous $\mathbb{R}^d$-valued semimartingale with Meyer decomposition $X_t=X_0+M_t+A_t$, and let $H(x)$ be a me…