Results 21 to 30 of about 88,663 (317)

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
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Weak Poincaré inequalities and hitting times for jump processes

Journal of Inequalities and Applications, 2016
In this paper, we get a criteria of weak Poincaré inequality by some integrability of hitting times for jump processes. In fact, integrability of hitting times on a subset F of state space E implies that the taboo process restricted on E ∖ F $E\setminus ...
Huihui Cheng, Hongde Xiao
doaj   +1 more source

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
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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

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
openaire   +5 more sources

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.
openaire   +1 more source

A hybrid tau-leap for simulating chemical kinetics with applications to parameter estimation

Royal Society Open Science
We consider the problem of efficiently simulating stochastic models of chemical kinetics. The Gillespie stochastic simulation algorithm (SSA) is often used to simulate these models; however, in many scenarios of interest, the computational cost quickly ...
Thomas Trigo Trindade, Konstantinos C. Zygalakis   +1 more
doaj   +1 more source