摘要
本文中,对于由标准布朗运动和纯跳Levy过程驱动的半鞅,在允许小跳有无穷活性的情况下,我们研究了其双幂变差门限版本的收敛速度.
In this paper, we consider the speed of convergence of the threshold version of bipower variation for a semimartingale, which is driven by a standard Brownian motion and a pure jump Levy process with possibly infinite activity of the small jumps.
出处
《应用概率统计》
CSCD
北大核心
2015年第4期337-346,共10页
Chinese Journal of Applied Probability and Statistics
基金
supported by the Natural Science Foundation of Jiangxi Province(20151BAB201021)
关键词
收敛速度
双幂变差
半鞅
积分波动率
Speed of convergence, bipower variation, semimartingales, integrated volatility
