Results 221 to 230 of about 15,168 (264)

Stability of Regime-Switching Jump Diffusions

SIAM Journal on Control and Optimization, 2010
Summary: This work is concerned with the stability of a class of switching jump-diffusion processes. The processes under consideration can be thought of as a number of jump-diffusion processes modulated by a random switching device. The motivation of our study stems from a wide range of applications in communication systems, flexible manufacturing and ...
Yin, George, Xi, Fubao
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Exact Simulation Problems for Jump-Diffusions

Methodology and Computing in Applied Probability, 2013
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Gonçalves, Flávio B., Roberts, Gareth O.   +1 more
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Jump-Diffusion Processes

2019
In this chapter we introduce jump-diffusion processes and provide a theoretical framework that justifies the nonparametric (data-based) extraction of the parameters and functions controlling the arrival of a jump and the distribution of the jump size from the estimated conditional Kramers–Moyal moments. The method and the results are applicable to both
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Local -estimation for jump-diffusion processes

Statistics & Probability Letters, 2012
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Wang, Yunyan, Zhang, Lixin, Tang, Mingtian   +2 more
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Neural Conformal Inference for jump diffusion processes

Journal of Econometrics
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Hyeong Jin Hyun, Xiao Wang
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Optimal Stopping of Jump Diffusions

2019
Fix an open set \(\mathcal S\subset \mathbb {R}^k\) (the solvency region ) and let Y(t) be a jump diffusion in \(\mathbb {R}^k\) given by \( \mathrm{d}Y(t)=b(Y(t))\mathrm{d}t+\sigma (Y(t))\mathrm{d}B(t) +\int _{\mathbb {R}^\ell } \!\gamma (Y(t^-), z) \bar{N}(\mathrm{d}t,\mathrm{d}z),\quad Y(0)=y\!\in \!\mathbb {R}^\ell , \) where \(b:\mathbb {R}^k ...
Bernt Øksendal, Agnès Sulem
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General Jump-Diffusion Setting [PDF]

In the preceding chapter we showed that in a model with Gaussian diffusion factors the asset allocation problem reduces, via the change of measure technique, to a controlled diffusion problem in the factor process, even though there are jumps in the asset price model. The problem can be handled by classical methods of stochastic control, and the result
Mark H. A. Davis, Sébastien Lleo
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Jump-diffusion international asset allocation

Mathematics and Financial Economics, 2015
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A comprehensive review on micro- and nano-scale gas flow effects: Slip-jump phenomena, Knudsen paradox, thermally-driven flows, and Knudsen pumps

Physics Reports, 2023
Ehsan Roohi
exaly  

Variation in bridgmanite grain size accounts for the mid-mantle viscosity jump

Nature, 2023
Hongzhan Fei, Maxim D Ballmer, Ulrich Faul   +2 more
exaly