63 citations · 75 across the 12 of their papers we have counts for
13 papers
Universal portfolios in continuous time: an approach in pathwise Itô calculus
Xiyue Han, Alexander Schied
We provide a simple and straightforward approach to a continuous-time version of Cover's universal portfolio strategies within the model-free context of Föllmer's pathwise Itô calc…
On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
Xiyue Han, Alexander Schied
In [Han \& Schied, 2023, \textit{arXiv 2307.02582}], an easily computable scale-invariant estimator was constructed to estimate the Hurst parameter of t…
Projecting Gaussian Ellipsoids While Avoiding Affine Projection Approximation
Han Qi, Tao Cai, Xiyue Han
Recently, 3D Gaussian Splatting has dominated novel-view synthesis with its real-time rendering speed and state-of-the-art rendering quality. However, during the rendering process,…
Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance
Xiyue Han, Alexander Schied
We consider the problem of estimating the roughness of the volatility process in a stochastic volatility model that arises as a nonlinear function of fractional Brownian motion wit…
A criterion for absolute continuity relative to the law of fractional Brownian motion
Xiyue Han, Alexander Schied
Let be the sum of a fractional Brownian motion with Hurst parameter and an absolutely continuous and adapted drift process. We establish a simple criterion that guarantees…
Robust Faber--Schauder approximation based on discrete observations of an antiderivative
Xiyue Han, Alexander Schied
We study the problem of reconstructing the Faber--Schauder coefficients of a continuous function from discrete observations of its antiderivative . For instance, this questi…
Experimental preparation of generalized cat states for itinerant microwave photons
Zenghui Bao, Zhiling Wang, Yukai Wu +11
Generalized cat states represent arbitrary superpositions of coherent states, which are of great importance in various quantum information processing protocols. Here we demonstrate…
A flying Schrödinger cat in multipartite entangled states
Zhiling Wang, Zenghui Bao, Yukai Wu +11
Schrödinger's cat originates from the famous thought experiment querying the counterintuitive quantum superposition of macroscopic objects. As a natural extension, several "cats" (…
The roughness exponent and its model-free estimation
Xiyue Han, Alexander Schied
Motivated by pathwise stochastic calculus, we say that a continuous real-valued function admits the roughness exponent if the variation of converges to…
A Gladyshev theorem for trifractional Brownian motion and -th order fractional Brownian motion
Xiyue Han
We prove limit theorems for the weighted quadratic variation of trifractional Brownian motion and -th order fractional Brownian motion. Furthermore, a sufficient condition for t…
A limit theorem for Bernoulli convolutions and the -variation of functions in the Takagi class
Xiyue Han, Alexander Schied, Zhenyuan Zhang
We consider a probabilistic approach to compute the Wiener--Young -variation of fractal functions in the Takagi class. Here, the -variation is understood as a generalization…
A probabilistic approach to the -variation of classical fractal functions with critical roughness
Xiyue Han, Alexander Schied, Zhenyuan Zhang
We consider Weierstraß and Takagi-van der Waerden functions with critical degree of roughness. In this case, the functions have vanishing variation for all bu…
Step roots of Littlewood polynomials and the extrema of functions in the Takagi class
Xiyue Han, Alexander Schied
We give a new approach to characterizing and computing the set of global maximizers and minimizers of the functions in the Takagi class and, in particular, of the Takagi--Landsberg…