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Christopher Lorenz, Alexander Schied, “Drift dependence of optimal trade execution strategies under transient price impact”, Finance Stoch, 17, no. 4, 2013, 743
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Mark Podolskij, Mathias Vetter, Margit Sommer, “Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps”, SSRN Journal, 2007
Stéphane Laurent, “Estimating the survival functions in a censored semi-competing risks model”, Sankhya A, 75, no. 2, 2013, 231
A. V. Borisov, G. B. Miller, A. I. Stefanovich, “Controllable Markov Jump Processes. I. Optimum Filtering Based on Complex Observations”, J. Comput. Syst. Sci. Int., 57, no. 6, 2018, 890
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I. V. Samoilenko, T. A. Samoilenko, Bogdan Dovgai, “Random evolutions in Poisson approximation scheme”, BKNUPhM, no. 2, 2021, 69
Alexander Iksanov, Bohdan Rashytov, “A functional limit theorem for general shot noise processes”, J. Appl. Probab., 57, no. 1, 2020, 280
Lingfei Li, Rafael Mendoza-Arriaga, “Equivalent Measure Changes for Subordinate Diffusions”, SSRN Journal, 2015