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A Note on Diffusion Processes with Jumps
2018We focus on stochastic diffusion processes with jumps occurring at random times. After each jump the process is reset to a fixed state from which it restarts with a different dynamics. We analyze the transition probability density function, its moments and the first passage time density.
giorno, virginia, Spina, Serena
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On Markov-Additive Jump Processes
Queueing Systems, 2002The focus is on Markov-additive processes, which belong to the class of Markov jump processes. Markov-additive jump processes are defined as 2-dimensional Markov jump processes, which satisfy the condition that the transition probabilities depend on one dimension only.
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STOCHASTIC EQUATIONS OF PROCESSES WITH JUMPS
Stochastics and Dynamics, 2013We consider one-dimensional stochastic differential equations driven by white noises and Poisson random measure. We introduce new techniques based on local time prove new results on pathwise uniqueness and comparison theorems. Our approach is very easy to handle and do not need any approximation approach.
Bouhadou, S., Ouknine, Y.
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Extremal Processes with One Jump
Extremes, 2000A stochastic process \(Y\) with right-continuous increasing sample paths is called an extremal process if it has ``independent max-increments'', i.e.
Balkema, A.A., Pancheva, E.I.
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Harnack Inequalities for Jump Processes
Potential Analysis, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bass, Richard F., Levin, David A.
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Testing for jumps in the EGARCH process
Mathematics and Computers in Simulation, 2009zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xiuhong Shi, Masahito Kobayashi
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Fluid queues to solve jump processes [PDF]
Performance Evaluation, 2005 We consider systems which exhibit a mixture of smooth behavior and occasional jumps, controlled by continuous-time Markovian processes on a finite state space, and we call these fluid queues with jumps, thereby emphasizing the fact that they constitute a generalization of fluid queues. We characterize their stationary distribution in an algorithmically
Dzial, Tessa +4 more
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Regular jump processes and their information processing
IEEE Transactions on Information Theory, 1974A class of regular jump processes (RJP's) is introduced. An RJP is described in terms of the intensity function of its associated stochastic point process and the state-transition density of its embedded random-state sequence. Expressions for the joint occurrence statistics of these processes are derived. Assuming that an information stochastic process
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Optimal Control of Jump Processes
SIAM Journal on Control and Optimization, 1977The paper proposes an abstract model for the problem of optimal control of systems subject to random perturbations, for which the principle of optimality takes on an appealing form. This model is specialized to the case where the state of the controlled system is realized as a jump process.
Boel, R., Varaiya, P.
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Quantum jumps as an objective process of nature
Physical Review A, 1995We study the time evolution of a linear superposition of two spatially separated wave packets, and we focus on the entanglement of the two distinct branches of the state vector with the environment. We focus in particular on the dynamics of a dissipative oscillator under the influence of objective processes of wave-function collapse, the continuous ...
L. Tessieri, VITALI, David, P. Grigolini
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