Results 1 to 10 of about 10,047 (263)

Stability Properties of Constrained Jump-Diffusion Processes

Electronic Journal of Probability, 2002
We consider a class of jump-diffusion processes, constrained to a polyhedral cone $G\subset\R^n$, where the constraint vector field is constant on each face of the boundary. The constraining mechanism corrects for ``attempts'' of the process to jump outside the domain.
Rami Atar, Amarjit Budhiraja
exaly   +5 more sources

Doubly perturbed jump-diffusion processes

Journal of Mathematical Analysis and Applications, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
exaly   +3 more sources

Stability for multidimensional jump-diffusion processes

Stochastic Processes and Their Applications, 1999
Consider an \(n\)-dimensional jump-diffusion process \(\{X^x_t\}\) satisfying \[ X^x_t=x+\int _0^t\mu (X^x_{s-}) ds + \int _0^t\sigma (X^x_{s-}) dB_s + \int _0^t \int c(X^x_{s-},u)\widetilde \nu (ds,du), \] where \(\mu (x)\) and \(c(x,u)\) are \(R^n\)-valued and \(\sigma (x)\) is \(n\times m\)-matrix valued for \(x,u\in R^n\), \(\{B_t\}\) denotes a ...
exaly   +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

Density estimates for jump diffusion processes

Applied Mathematics and Computation, 2022
We consider a real-valued diffusion process with a linear jump term driven by a Poisson point process and we assume that the jump amplitudes have a centered density with finite moments. We show upper and lower estimates for the density of the solution in the case that the jump amplitudes follow a Gaussian or Laplacian law.
Arturo Kohatsu-Higa, Eulalia Nualart, Ngoc Khue Tran   +2 more
openaire   +4 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

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