Concepedia

Semimartingale Models

Semimartingale Models is a mathematical framework in stochastic process theory characterized by its decomposition into a local martingale and a finite-variation process, specifically designed for modeling high-frequency time series data exhibiting both continuous and discontinuous sample paths.

542

Publications

28.6K

Citations

599

Authors

375

Institutions

Publications per year

2017–2026

46

Parents

Publications

542

Differential equations driven by rough signals

Terry Lyons · Revista Matemática Iberoamericana · 1998 · 1.1K citations · Full text

, , +14

The asymptotic elasticity of utility functions and optimal investment in incomplete markets

Dmitry Kramkov, Walter Schachermayer · The Annals of Applied Probability · 1999 · 986 citations · Full text

, , +15

Estimating quadratic variation using realized variance

Ole E. Barndorff–Nielsen, Neil Shephard · Journal of Applied Econometrics · 2002 · 648 citations

, , +14

Testing for jumps in a discretely observed process

Yacine Aı̈t-Sahalia, Jean Jacod · The Annals of Statistics · 2009 · 588 citations · Full text

, , +14

DIFFUSION PROCESSES AND THEIR SAMPLE PATHS

Samuel Taylor · Journal of the London Mathematical Society · 1967 · 516 citations

, , +13

1–5 of 542

Authors

599

  1. FR
    Francesco Russo

    École Nationale Supérieure de Techniques Avancées, France

    14 publications · 526 citations

    13

    h-index

  2. JJ
    Jean Jacod

    Sorbonne Université, France

    13 publications · 2K citations

    12

    h-index

  3. PP
    Philip Protter

    Cornell University, United States

    11 publications · 997 citations

    11

    h-index

  4. MS
    Martin Schweizer

    ETH Zurich, Switzerland

    11 publications · 881 citations

    10

    h-index

  5. MP
    Mark Podolskij

    Aarhus University, Denmark

    9 publications · 556 citations

    9

    h-index

1–5 of 599

Institutions

375

  1. Sorbonne Université

    Paris, France

    17 h-index

    21 publications

    2.1K citations

  2. Columbia University

    New York, United States

    16 h-index

    21 publications

    1.6K citations

  3. ETH Zurich

    Zurich, Switzerland

    14 h-index

    26 publications

    1.6K citations

  4. Aarhus University

    Aarhus, Denmark

    13 h-index

    20 publications

    1.5K citations

  5. Carnegie Mellon University

    Pittsburgh, United States

    11 h-index

    14 publications

    418 citations

  6. Université Paris Cité

    Paris, France

    10 h-index

    14 publications

    460 citations

  7. Centre National de la Recherche Scientifique

    Paris, France

    10 h-index

    12 publications

    792 citations

  8. École Polytechnique

    Palaiseau, France

    10 h-index

    14 publications

    714 citations

1–8 of 375

Venues

  1. The Annals of Probability

    37 publications · 3.1K citations

    28

    h-index

  2. The Annals of Applied Probability

    30 publications · 2.3K citations

    21

    h-index

  3. Stochastic Processes and their Applications

    39 publications · 1.9K citations

    21

    h-index

  4. SSRN Electronic Journal

    Repository · 28 publications · 727 citations

    17

    h-index

  5. Finance and Stochastics

    17 publications · 1.5K citations

    16

    h-index

1–5