Results 31 to 40 of about 10,047 (263)
Structural estimation of jump-diffusion processes in macroeconomics [PDF]
Journal of Econometrics, 2007 This paper shows how to solve and estimate a continuous-time dynamic stochastic general equilibrium (DSGE) model with jumps. It also shows that a continuous-time formulation can make it simpler (relative to its discrete-time version) to compute and estimate the deep parameters using the likelihood function when non-linearities and/or non-normalities ...
openaire +4 more sources
Optimal Portfolio Selection in an Itô–Markov Additive Market
Risks, 2019 We study a portfolio selection problem in a continuous-time Itô–Markov additive market with prices of financial assets described by Markov additive processes that combine Lévy processes and regime switching models.
Zbigniew Palmowski +2 more
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The Truncated EM Method of Jump Diffusions with Markovian Switching: A Case Study of Music Signals
MathematicsThis paper investigates the strong convergence of jump-diffusion processes with Markovian switching using the truncated Euler–Maruyama (TEM) method. Under the assumption that the drift and diffusion coefficients satisfy a Khasminskii-type condition and ...
Ping Li, Ping Yu, Yuhang Zhen
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Structural insights into an engineered feruloyl esterase with improved MHET degrading properties
FEBS Letters, EarlyView.A feruloyl esterase was engineered to mimic key features of MHETase, enhancing the degradation of PET oligomers. Structural and computational analysis reveal how a point mutation stabilizes the active site and reshapes the binding cleft, expading substrate scope.
Panagiota Karampa +5 more
wiley +1 more source
Modelling river flows as jump-diffusion processes
Atti della Accademia Peloritana dei Pericolanti : Classe di Scienze Fisiche, Matematiche e NaturaliThe 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
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Frontiers in PhysicsThe stock price data are sampled at discrete times (e.g., hourly, daily, weekly, etc). When data are sampled at discrete times, they appear as a sequence of discontinuous jump events, even if they have been sampled from a continuous process. On the other
Ali Asghar Movahed, Houshyar Noshad
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Geometric approximations to transition densities of Jump-type Markov processes
Open Mathematics, 2021 This paper is concerned with the transition functions of symmetric Levy-type processes generated by a pseudo-differential operator with variable coefficients.
Zhuang Yuanying, Song Xiao
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The ubiquitin‐proteasome system and autophagy as guardians of the cellular proteome
FEBS Letters, EarlyView.This Perspective covers the three principles governing the crosstalk between the ubiquitin‐proteasome system and autophagy in cellular proteostasis: (1) a shared ubiquitin code routing substrates via shuttle factors or autophagy receptors; (2) spatial compartmentalization into phase‐separated degradation hubs and organelle‐specific modules (exemplified
Ivan Dikic
wiley +1 more source
Physical Review XPathwise observables—functionals of stochastic trajectories—are at the heart of time-averaged statistical mechanics and are central to thermodynamic inequalities such as uncertainty relations, speed limits, and correlation bounds. They provide a means of
Lars Torbjørn Stutzer +2 more
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Mathematics, 2021 This paper is aimed at developing a stochastic volatility model that is useful to explain the dynamics of the returns of gold, silver, and platinum during the period 1994–2019.
Martha Carpinteyro +2 more
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