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Random walk models in the life sciences: including births, deaths and local interactions. [PDF]
Plank MJ, Simpson MJ, Baker RE.
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Cytoplasmic fluidity and the cold life: proteome stability is decoupled from viability in psychrophiles. [PDF]
Caviglia B +8 more
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Understanding water behaviour on 2D material interfaces through single-molecule motion on h-BN and graphene. [PDF]
Seiler P +5 more
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Rapid Redox Hopping Charge Transfer and Electrochromism in a Multivariate Metal-Organic Framework. [PDF]
Thomas B +4 more
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Local -estimation for jump-diffusion processes
Statistics & Probability Letters, 2012zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wang, Yunyan +2 more
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Optimal liquidation with jump-diffusion process
International Journal of Applied Decision Sciences, 2021Under the assumption of the asset prices obey jump-diffusion process, static optimal liquidation strategies and efficient frontier are provided based on the mean-variance criterion and the minimum loss probability criterion separately. Furthermore, this paper analysed the impact of price jump component on optimal liquidation strategy.
Qixuan Luo, Can Jia, Handong Li
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Point Processes and Jump Diffusions
2021The theory of marked point processes on the real line is of great and increasing importance in areas such as insurance mathematics, queuing theory and financial economics. However, the theory is often viewed as technically and conceptually difficult and has proved to be a block for PhD students looking to enter the area.
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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
openaire +1 more source

