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On the functional estimation of jump–diffusion models
Journal of Econometrics, 2003zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bandi, Federico M., Nguyen, Thong H.
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Retrapping and velocity inversion in jump diffusion
Physical Review E, 1995A method for the solution of the Kramers problem in periodic potentials is proposed in the general case of a tilted periodic potential. The method is then applied to the Fokker-Planck equation with a cosine potential without tilt, and the results for the jump-length probability distribution are compared to simulation data concerning the lengths crossed
FERRANDO, RICCARDO +2 more
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2015
This chapter considers jump-diffusion processes to allow for price fluctuations to have two components, one consisting of the usual increments of a Wiener process, the second allows for “large” jumps from time-to-time. We introduce Poisson jump process with either absolute or proportional jump sizes through the stochastic integrals and provide ...
Carl Chiarella +2 more
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This chapter considers jump-diffusion processes to allow for price fluctuations to have two components, one consisting of the usual increments of a Wiener process, the second allows for “large” jumps from time-to-time. We introduce Poisson jump process with either absolute or proportional jump sizes through the stochastic integrals and provide ...
Carl Chiarella +2 more
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Stability of jump diffusions with random switching
2012 IEEE 51st IEEE Conference on Decision and Control (CDC), 2012This paper summarizes what have been done in our recent paper [24], which is concerned with stability of a class of switching jump-diffusion processes. The motivation of our study stems from a wide range of applications in communication systems, flexible manufacturing and production planning, financial engineering, and economics.
Gang George Yin, Fubao Xi
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Exact Simulation Problems for Jump-Diffusions
Methodology and Computing in Applied Probability, 2013zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gonçalves, Flávio B. +1 more
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Schrödinger Bridge Problem for Jump Diffusions
CoRRThe Schrödinger bridge problem (SBP) seeks to find the measure $\hat{\mathbf{P}}$ on a certain path space which interpolates between state-space distributions $ρ_0$ at time $0$ and $ρ_T$ at time $T$ while minimizing the KL divergence (relative entropy) to a reference path measure $\mathbf{R}$. In this work, we tackle the SBP in the case when $\mathbf{R}
Andrei Zlotchevski, Linan Chen
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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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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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Calculations of Greeks for Jump Diffusion Processes
Mediterranean Journal of Mathematics, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Option Pricing Under a Mixed-Exponential Jump Diffusion Model
Management Science, 2011Ning Cai, S G Kou
exaly