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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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2021
In this chapter the aim is to describe those jump processes that form the building blocks for most modeling. All of these can be described by integer variables.
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In this chapter the aim is to describe those jump processes that form the building blocks for most modeling. All of these can be described by integer variables.
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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
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Jump process for the trend estimation of time series
Computational Statistics and Data Analysis, 2003Shan Zhao, G W Wei
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Pricing variance swaps under the Hawkes jump‐diffusion process
Journal of Futures Markets, 2019Weiyi Liu, Song-Ping Zhu
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