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The Representation of Martingales of Jump Processes
SIAM Journal on Control and Optimization, 1976In this paper it is shown that all local martingales of the $\sigma $-fields generated by a jump process of very general type can be represented as stochastic integrals with respect to a fundamental family of martingales associated with the jump process.
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The Principal Eigenvalue for Jump Processes
Acta Mathematica Sinica, English Series, 2000Summary: A variational formula for the lower bound of the principal eigenvalue of general Markov jump processes is presented. The result is complete in the sense that the condition is fulfilled and the resulting bound is sharp for Markov chains under some mild assumptions.
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Proceedings of 27th Asilomar Conference on Signals, Systems and Computers, 2002
Using a change of measure a filtering problem is discussed where both the signal and observation processes are diffusions with jumps. >
R.J. Elliott, L. Aggoun
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Using a change of measure a filtering problem is discussed where both the signal and observation processes are diffusions with jumps. >
R.J. Elliott, L. Aggoun
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Structured Proportional Jump Processes.
2014Learning the association between observed variables and future trajectories of continuoustime stochastic processes is a fundamental task in dynamic modeling. Often the dynamics are non-homogeneous and involve a large number of interacting components.
El-Hay T. +4 more
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Jump Processes and Boundary Processes
1984Publisher Summary This chapter discusses the jump processes and boundary processes. The chapter describes the development of the Malliavin calculus by Malliavin. Another approach to the calculus of variations on jump processes is discussed. It is based on more elementary arguments, and does not rely on the Girsanov transformation on jump processes ...
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1993
We want to describe Markov processes that evolve through continuous time t ≥ 0, but in a discrete state space ℒ. The prescription for such a process has two ingredients. There are random jump times 0 < τ1 < τ2 < … < τn < … when the process jumps away from the state it is at, and there are transition probabilities Q xy that govern the transitions at ...
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We want to describe Markov processes that evolve through continuous time t ≥ 0, but in a discrete state space ℒ. The prescription for such a process has two ingredients. There are random jump times 0 < τ1 < τ2 < … < τn < … when the process jumps away from the state it is at, and there are transition probabilities Q xy that govern the transitions at ...
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A note on recurrence of the Vertex reinforced jump process and fractional moments localization
Electronic Journal of Probability, 2021Xiaolin Zeng
exaly
Jump process for the trend estimation of time series
Computational Statistics and Data Analysis, 2003Shan Zhao, G W Wei
exaly