英文标题：
《Stratonovich representation of semimartingale rank processes》
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作者：
Robert Fernholz
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最新提交年份：
2017
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英文摘要：
Suppose that $X_1, \\ldots , X_n$ are continuous semimartingales that are reversible and have nondegenerate crossings. Then the corresponding rank processes can be represented by generalized Stratonovich integrals, and this representation can be used to decompose the relative log-return of portfolios generated by functions of ranked market weights.
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中文摘要：
假设$X\\u 1、\\ldots、X\\n$是可逆且具有非退化交叉的连续半鞅。然后，相应的秩过程可以用广义Stratonovich积分表示，这种表示可以用来分解由排名市场权重函数生成的投资组合的相对对数收益。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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