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It is common practice in finance to estimate volatility from the sum of frequently-sampled squared returns. However, market microstructure poses challenges to this estimation approach, as evidenced by recent empirical studies in finance. I will talk briefly about the present work on how to lay out theoretical grounds that reconcile continuous-time modeling(More)
The equivalence between absorbing and reflecting barrier problems for random walks is shown to hold for stochastically monotone Markov processes. For Markov chains in continuous time this relation is expressed directly in terms of the Q-matrices of the chains. This equivalence has applications in the problems such as simulation of Markov processes. Some(More)
A typical mining facility uses excavation machines like shovels, draglines, etc., for removing overburden and ores during the mining process. These machines are characterized by cyclic loads consisting of high peak power demands as well as regeneration phases. The peak power demand is often as high as 1.6 times the average demand. This kind of a load leads(More)
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