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Two-Dimensional (Bivariate) Jump-Diffusion Processes
2019In this chapter we provide a generalization of jump-diffusion precesses (12.1) in two dimensions by considering a class of coupled systems that are described by a bivariate state vector \(\mathbf{x }(t)\) contained in a two-dimensional state space \(\{\mathbf{x}\}\).
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Estimation of Jump-Diffusion Processes Based on Indirect Inference
IFAC Proceedings Volumes, 1998Jump-diffusion processes have been widely used to model financial time series to reflect discontinuity of asset returns. However, difficulty involved in the estimation of general jump-diffusion processes has prevented their implementation in empirical applications.
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Approximation of A Jump-Diffusion Process [PDF]
, 2004 We present a weak convergence of a discrete time process to a jump-diffusion process as the length of sampling interval, h, goes to zero. There is an example given for the weak convergency with using GARCH (1,1)-M model by Engle and Bollerslev(1986).
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Recurrence and transience for jump–diffusion processes
Stochastic Analysis and Applications, 2000The purpose of this work is to obtain sufficient conditions for transience and recurrence of multidimensional jump–diffusion processes, which are driven by Brownian motion and Poisson random measure.
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Stochastic Processes and Control for Jump-Diffusions
SSRN Electronic Journal, 2007An applied compact introductory survey of Markov stochastic processes and control in continuous time is presented. The presentation is in tutorial stages, beginning with deterministic dynamical systems for contrast and continuing on to perturbing the deterministic model with diffusions using Wiener processes.
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Levy process for jump diffusion model
In this project, we study some properties of the Lévy process for a jump diffusion model and apply them to a problem in financial mathematics. We formulate the call option price in the situation where the underlying asset (share price) has higher than normal volatility and is considered on the basis of the Black-Scholes model.openaire +1 more source
Jump-Diffusion Processes with Regime Switching
2022Nikita Ratanov, Alexander D. Kolesnik
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