Publications

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Author Title Type [ Year(Asc)]
Submitted
Han, X. ; Schied, A. . Estimating The Roughness Exponent Of Stochastic Volatility From Discrete Observations Of The Integrated Variance. arXiv:2307.02582, Submitted.
Han, X. ; Schied, A. . Robust Faber--Schauder Approximation Based On Discrete Observations Of An Antiderivative. arXiv:2211.11907, Submitted, pp. 1-29.
Accepted
Han, X. ; Schied, A. . A Criterion For Absolute Continuity Relative To The Law Of Fractional Brownian Motion. Electronic Communications in Probability, Accepted.
Han, X. ; Schied, A. . The Roughness Exponent And Its Model-Free Estimation. The Annals of Applied Probability Accepted.
2024
Han, X. . The Roughness Exponent And Its Application In Finance. Ph.D. Thesis 2024.
2022
Han, X. ; Schied, A. ; Zhang, Z. . A Limit Theorem For Bernoulli Convolutions And The Φ-Variation Of Functions In The Takagi Class. Journal of Theoretical Probability 2022, 35, 2853–2878.
Han, X. ; Schied, A. . Step Roots Of Littlewood Polynomials And The Extrema Of Functions In The Takagi Class. Mathematical Proceedings of the Cambridge Philosophical Society 2022, 173, 591-618.
2021
Han, X. . A Gladyshev Theorem For Trifractional Brownian Motion And N-Th Order Fractional Brownian Motion. Electronic Communications in Probability 2021, 26, 1-12.
Han, X. ; Schied, A. ; Zhang, Z. . A Probabilistic Approach To The Phi-Variation Of Classical Fractal Functions With Critical Roughness. Statistics & Probability Letters 2021, 168.