Results 1 to 10 of about 9,632 (147)

Modelling river flows as jump-diffusion processes

Atti della Accademia Peloritana dei Pericolanti : Classe di Scienze Fisiche, Matematiche e Naturali
The streamflow of a river is modelled as a jump-diffusion process. The jump size is distributed as an exponential random variable. The various parameters of the model are estimated by using the method of moments.
Mario Lefebvre
doaj   +3 more sources

jumpdiff: A Python Library for Statistical Inference of Jump-Diffusion Processes in Observational or Experimental Data Sets

Journal of Statistical Software, 2023
We introduce a Python library, called jumpdiff, which includes all necessary functions to assess jump-diffusion processes. This library includes functions which compute a set of non-parametric estimators of all contributions composing a jump-diffusion ...
Leonardo Rydin Gorjão, Dirk Witthaut, Pedro G. Lind   +2 more
doaj   +1 more source

Online Drift Estimation for Jump-Diffusion Processes [PDF]

SSRN Electronic Journal, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bhudisaksang, T, Cartea, A
openaire   +3 more sources

Power Exchange Option with a Hybrid Credit Risk under Jump-Diffusion Model

Mathematics, 2021
In this paper, we study the valuation of power exchange options with a correlated hybrid credit risk when the underlying assets follow the jump-diffusion processes.
Junkee Jeon, Geonwoo Kim
doaj   +1 more source

Arbitrary-Order Finite-Time Corrections for the Kramers–Moyal Operator

Entropy, 2021
With the aim of improving the reconstruction of stochastic evolution equations from empirical time-series data, we derive a full representation of the generator of the Kramers–Moyal operator via a power-series expansion of the exponential operator.
Leonardo Rydin Gorjão, Dirk Witthaut, Klaus Lehnertz, Pedro G. Lind   +3 more
doaj   +1 more source

First-Passage Times and Optimal Control of Integrated Jump-Diffusion Processes

Fractal and Fractional, 2023
Let Y(t) be a one-dimensional jump-diffusion process and X(t) be defined by dX(t)=ρ[X(t),Y(t)]dt, where ρ(·,·) is either a strictly positive or negative function.
Mario Lefebvre
doaj   +1 more source

Including Jumps in the Stochastic Valuation of Freight Derivatives

Mathematics, 2021
The spot freight rate processes considered in the literature for pricing forward freight agreements (FFA) and freight options usually have a particular dynamics in order to obtain the prices.
Lourdes Gómez-Valle, Julia Martínez-Rodríguez   +1 more
doaj   +1 more source

Approximating the First Passage Time Density of Diffusion Processes with State-Dependent Jumps

Fractal and Fractional, 2022
We study the problem of the first passage time through a constant boundary for a jump diffusion process whose infinitesimal generator is a nonlocal Jacobi operator.
Giuseppe D’Onofrio, Alessandro Lanteri
doaj   +1 more source

Local Linear Approximations of Jump Diffusion Processes [PDF]

Journal of Applied Probability, 2006
Local linear approximations have been the main component in the construction of a class of effective numerical integrators and inference methods for diffusion processes. In this note, two local linear approximations of jump diffusion processes are introduced as a generalization of the usual ones. Their rate of uniform strong convergence is also studied.
Jimenez, J. C., Carbonell, F.
openaire   +1 more source

Bayesian Estimation of Asymmetric Jump-Diffusion Processes [PDF]

SSRN Electronic Journal, 2012
The hypothesis that asset returns are normally distributed has been widely rejected. The literature has shown that empirical asset returns are highly skewed and leptokurtic. The affine jump-diffusion (AJD) model improves upon the normal specification by adding a jump component to the price process. Two important extensions proposed by Ramezani and Zeng
Frame, Samuel J., Ramezani, Cyrus A.
openaire   +2 more sources