4 papers
math.ST2022
Rate-optimal estimation of mixed semimartingales
Carsten H. Chong, Thomas Delerue, Fabian Mies
Consider the sum of a Brownian motion and an independent fractional Brownian motion with Hurst parameter . Even though is not a semimartinga…
math.ST2021
When Frictions are Fractional: Rough Noise in High-Frequency Data
Carsten H. Chong, Thomas Delerue, Guoying Li
The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appe…
math.PR2019
Normal approximation of the solution to the stochastic wave equation with Lévy noise
Thomas Delerue
For a sequence of Lévy noises with variance , we prove the Gaussian approximation of the solution to the stochastic wave…
math.PR2018
Normal approximation of the solution to the stochastic heat equation with Lévy noise
Carsten Chong, Thomas Delerue
Given a sequence of Lévy noises, we derive necessary and sufficient conditions in terms of their variances such that the solution to the…