- Publications
- Influence

Claim Your Author Page

Ensure your research is discoverable on Semantic Scholar. Claiming your author page allows you to personalize the information displayed and manage your publications. Semantic Scholar automatically creates author pages based on data aggregated from

**public sources and our publisher partners.**I. The General Theory of Stochastic Processes, Semimartingales and Stochastic Integrals.- II. Characteristics of Semimartingales and Processes with Independent Increments.- III. Martingale Problems… Expand

This paper is concerned with the asymptotic behavior of sums of the form , where X is a 1-dimensional semimartingale and f a suitable test function, typically f(x)=xr, as [Delta]n-->0. We prove a… Expand

Part I Introduction and Preliminary Material.- 1.Introduction .- 2.Some Prerequisites.- Part II The Basic Results.- 3.Laws of Large Numbers: the Basic Results.- 4.Central Limit Theorems: Technical… Expand

We propose a new test to determine whether jumps are present in asset returns or other discretelly sampled processses. As the sampling interval tends to 0, our test statistic converges to 1 if there… Expand

We are interested in the rate of convergence of the Euler scheme approximation of the solution to a stochastic differential equation driven by a general (possibly discontinuous) semimartingale, and… Expand

We propose a new test to determine whether jumps are present in asset returns or other discretely sampled processes. As the sampling interval tends to 0, our test statistic converges to 1 if there… Expand

This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also provides consistent estimators of other powers of volatility – in particular, it… Expand

Consider a semimartingale of the form Y_{t}=Y_0+\int _0^{t}a_{s}ds+\int _0^{t}_{s-} dW_{s}, where a is a locally bounded predictable process and (the "volatility") is an adapted right--continuous… Expand