Results 11 to 20 of about 10,689,983 (306)

Robust filtering for discrete-time Markovian jump delay systems [PDF]

, 2004
Copyright [2004] IEEE. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of Brunel University's products or services.
Liu, X, Wang, Z, Lam, J
core   +7 more sources

Modeling Financial Intraday Jump Tail Contagion with High Frequency Data Using Mutually Exciting Hawkes Process

Discrete Dynamics in Nature and Society, 2020
Financial extreme jumps in asset price may propagate across stock markets and lead to the market-wide crashes, which severely threatens the stability of the financial system.
Chao Yu, Jianxin Bi, Xujie Zhao
doaj   +1 more source

Reciprocal Class of Jump Processes [PDF]

Journal of Theoretical Probability, 2015
Processes having the same bridges as a given reference Markov process constitute its {\it reciprocal class}. In this paper we study the reciprocal class of compound Poisson processes whose jumps belong to a finite set $\mathcal{A} \subset \mathbb{R}^d$.
Conforti, Giovanni, DAI PRA, PAOLO, Rœlly, Sylvie   +2 more
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Neural Markov Jump Processes

CoRR, 2023
Markov jump processes are continuous-time stochastic processes with a wide range of applications in both natural and social sciences. Despite their widespread use, inference in these models is highly non-trivial and typically proceeds via either Monte Carlo or expectation-maximization methods.
Patrick Seifner, Ramsés J. Sánchez
openaire   +3 more sources

Existence, uniqueness, and stability of uncertain delay differential equations with V-jump

Advances in Difference Equations, 2020
No previous study has involved uncertain delay differential equations with jump. In this paper, we consider the uncertain delay differential equations with V-jump, which is driven by both an uncertain V-jump process and an uncertain canonical process ...
Zhifu Jia, Xinsheng Liu, Cunlin Li
doaj   +1 more source

An empirical assessment of symmetric and asymmetric jump-diffusion models for the Nigerian stock market indices

Scientific African, 2021
We examine empirically, the suitability of three stock price models viz: geometric Brownian motion, symmetric and asymmetric jump-diffusion models, on the empirical log-returns of the Nigerian All-Share Index.
Mabel E. Adeosun, Olabisi O. Ugbebor
doaj   +1 more source

Monte-Carlo simulation results in estimating a pure-jump Cox-Ingersoll-Ross process [PDF]

ESAIM: Proceedings and Surveys
We consider a pure-jump stable Cox-Ingersoll-Ross (α-stable CIR) process driven by a non-symmetric stable Lévy process with jump activity α ∈ (1,2), for which estimators of the drift, scaling and jump activity parameters from high-frequency observations ...
Bayraktar Elise
doaj   +1 more source

Hierarchical Markov Model in Life Insurance and Social Benefit Schemes

Risks, 2018
We explored the effect of the jump-diffusion process on a social benefit scheme consisting of life insurance, unemployment/disability benefits, and retirement benefits. To do so, we used a four-state Markov chain with multiple decrements.
Jiwook Jang, Siti Norafidah Mohd Ramli
doaj   +1 more source

Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps

Mathematics, 2023
We introduce a novel option pricing model that features stochastic interest rates along with an underlying price process driven by stochastic string shocks combined with pure jump Lévy processes.
Alberto Bueno-Guerrero, Steven P. Clark
doaj   +1 more source

Jump Process

, 2022
A jump process is a type of stochastic process that has discrete movements, called jumps, with random arrival times, rather than continuous movement, typically modelled as a simple or compound Poisson process.
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