Results 11 to 20 of about 10,047 (263)
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
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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.
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Mathematics, 2022 This research is concerned with developing a generalised diffusion equation capable of describing diffusion processes driven by underlying stress-redistributing type events.
Josiah D. Cleland, Martin A. K. Williams
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Convergence of hitting times for jump-diffusion processes
Modern Stochastics: Theory and Applications, 2015 We investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with jumps.
Georgiy Shevchenko
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A Monte Carlo Approach to Bitcoin Price Prediction with Fractional Ornstein–Uhlenbeck Lévy Process
Forecasting, 2022 Since its inception in 2009, Bitcoin has increasingly gained main stream attention from the general population to institutional investors. Several models, from GARCH type to jump-diffusion type, have been developed to dynamically capture the price ...
Jules Clément Mba +2 more
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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.
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Option Pricing with Stochastic Volatility and Jump Diffusion Processes [PDF]
Theoretical and Applied Economics, 2006 Option pricing by the use of Black Scholes Merton (BSM) model is based on the assumption that asset prices have a lognormal distribution. In spite of the use of these models on a large scale, both by practioners and academics, the assumption of ...
Radu Lupu
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Multifractality of jump diffusion processes [PDF]
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 2018 33 pages, accepted by Annales de l'Institut Henri Poincar ...
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Entropy, 2015 At present, many cloud services are managed by using open source software, such as OpenStack and Eucalyptus, because of the unification management of data, cost reduction, quick delivery and work savings.
Yoshinobu Tamura, Shigeru Yamada
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Adaptively Setting the Path Length for Separable Shadow Hamiltonian Hybrid Monte Carlo
IEEE Access, 2021 Hybrid Monte Carlo (HMC) has been widely applied to numerous posterior inference problems in machine learning and statistics. HMC has two main practical issues, the first is the deterioration in acceptance rates as the system size increases and the ...
Wilson Tsakane Mongwe +2 more
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