統計数学セミナー

過去の記録 ~08/07次回の予定今後の予定 08/08~

担当者 吉田朋広、荻原哲平、小池祐太
セミナーURL http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/
目的 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う.

2016年10月31日(月)

10:40-11:30   数理科学研究科棟(駒場) 123号室
Nakahiro Yoshida 氏 (University of Tokyo, Institute of Statistical Mathematics, JST CREST)
Martingale expansion revisited
[ 講演概要 ]
The martingale expansion is revisited in this talk. The martingale expansion for a martingale with mixed normal limit evaluates the tangent of the quadratic variation of the martingale and the torsion of an exponential martingale under the measure transform caused by the random limit of the quadratic variation. The martingale expansion has been applied to the realized volatility, quadratic form of an Ito process, p-variation and the QLA estimators of a volatility parametric model. An interpolation in time was used in martingale expansion. We discuss relation between martingale expansion and recently developed asymptotic expansion of Skorohod integrals by interpolation of distributions (a joint work with D. Nualart).