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Detecting jumps from Lévy jump diffusion processes☆ [PDF]
Journal of Financial Economics, 2008 Abstract Recent asset-pricing models incorporate jump risk through Levy processes in addition to diffusive risk. This paper studies how to detect stochastic arrivals of small and big Levy jumps with new nonparametric tests. The tests allow for robust analysis of their separate characteristics and facilitate better estimation of return dynamics ...
Suzanne S. Lee, Jan Hannig
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Reflected Diffusion Processes with Jumps
The Annals of Probability, 1985 In this paper, the authors study the question of building solutions of stochastic differential equations with reflecting boundary conditions, corresponding to reflected diffusion processes with jumps. To do so, they adapt to the case of jump processes the penalty argument used by many authors.
Menaldi, Jose-Luis, Robin, Maurice
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Recursive Utility and Jump-Diffusions [PDF]
SSRN Electronic Journal, 2014 We derive the equilibrium interest rate and risk premiums using recursive utility for jump-diffusions. Compared to to the continuous version, including jumps allows for a separate risk aversion related to jump size risk in addition to risk aversion related to the continuous part. We also consider a version that allows marginal utility to depend on past
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Nonlinear Filtering for Jump Diffusion Observations [PDF]
Advances in Applied Probability, 2012 We deal with the filtering problem of a general jump diffusion process,X, when the observation process,Y, is a correlated jump diffusion process having common jump times withX. In this setting, at any timetthe σ-algebraprovides all the available information aboutXt, and the central goal is to characterize the filter, πt, which is the conditional ...
Ceci, Claudia, COLANERI, KATIA
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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 +1 more
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Double-Jump migration and diffusive instability [PDF]
Bulletin of Mathematical Biology, 2004 In order to look into the stability consequences of a particular migration process in which individuals choose to settle, we formulated a continuous-time multi-species multi-patch model in which individuals migrate by one or two instantaneous jumps while making the second jump with a certain probability that possibly depends on the conditions at the ...
Huang, Y. +2 more
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Convergence of the compensated split-step θ-method for nonlinear jump-diffusion systems
Advances in Difference Equations, 2017 In this paper, our aim is to develop a compensated split-step θ (CSSθ) method for nonlinear jump-diffusion systems. First, we prove the convergence of the proposed method under a one-sided Lipschitz condition on the drift coefficient, and global ...
Jianguo Tan, Weiwei Men
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Hydrogen Dynamics in Hydrated Chitosan by Quasi-Elastic Neutron Scattering
Bioengineering, 2022 Chitosan, an environmentally friendly and highly bio-producible material, is a potential proton-conducting electrolyte for use in fuel cells. Thus, to microscopically elucidate proton transport in hydrated chitosan, we employed the quasi-elastic neutron ...
Yuki Hirota +4 more
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Consistency Problems for Jump‐diffusion Models [PDF]
Applied Mathematical Finance, 2005 In this paper consistency problems for multi-factor jump-diffusion models, where the jump parts follow multivariate point processes are examined. First the gap between jump-diffusion models and generalized Heath-Jarrow-Morton (HJM) models is bridged. By applying the drift condition for a generalized arbitrage-free HJM model, the consistency condition ...
Li Chen +2 more
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Invariant Measure for Diffusions with Jumps
Applied Mathematics and Optimization, 1999 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Menaldi, J.-L., Robin, M.
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