Optimization of joint p-variations of Brownian semimartingales

We study the optimization of the joint $(p^Y,p^Z)-$variations of two continuous semimartingales $(Y,Z)$ driven by the same Itô process $X$. The $p$-variations are defined on random grids made of finitely many stopping times. We establish an explicit asymptotic lower bound for our criterion, valid in rather great generality on the grids, and we exhibit minimizing sequences of hitting time form. The asymptotics is such that the spatial increments of $X$ and the number of grid points are suitably converging to 0 and $+\infty$ respectively.

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Field Value
Source ISSN: 1083-589X
Author Gobet, Emmanuel, Landon, Nicolas
Maintainer CCSD
Last Updated May 5, 2026, 20:54 (UTC)
Created May 5, 2026, 20:54 (UTC)
Identifier hal-00853590
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Centre de Mathématiques Appliquées de l'Ecole polytechnique (CMAP) ; Institut National de Recherche en Informatique et en Automatique (Inria)-École polytechnique (X) ; Institut Polytechnique de Paris (IP Paris)-Institut Polytechnique de Paris (IP Paris)-Centre National de la Recherche Scientifique (CNRS)
creator Gobet, Emmanuel
date 2014-01-01T00:00:00
harvest_object_id b1513f13-a2ae-45b3-9adb-7b632f143a29
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2025-03-23T00:00:00
relation info:eu-repo/semantics/altIdentifier/doi/10.1214/ECP.v19-2975
set_spec type:ART