Results 1 to 10 of about 486,371 (163)
Optimal Portfolio Selection in an Itô–Markov Additive Market
Risks, 2019 We study a portfolio selection problem in a continuous-time Itô–Markov additive market with prices of financial assets described by Markov additive processes that combine Lévy processes and regime switching models.
Zbigniew Palmowski +2 more
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Entropy, 2021 A family of heterogeneous mean-field systems with jumps is analyzed. These systems are constructed as a Gibbs measure on block graphs. When the total number of particles goes to infinity, the law of large numbers is shown to hold in a multi-class context,
Donald A. Dawson +2 more
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A modified Φ-Sobolev inequality for canonical Lévy processes and its applications
Modern Stochastics: Theory and Applications, 2023 A new modified Φ-Sobolev inequality for canonical ${L^{2}}$-Lévy processes, which are hybrid cases of the Brownian motion and pure jump-Lévy processes, is developed.
Noriyoshi Sakuma, Ryoichi Suzuki
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Estimating Equations for Density Dependent Markov Jump Processes
Mathematics, 2021 Reaction networks are important tools for modeling a variety of biological phenomena across a wide range of scales, for example as models of gene regulation within a cell or infectious disease outbreaks in a population. Hence, calibrating these models to
Oluseyi Odubote, Daniel F. Linder
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Detecting jumps from Lévy jump diffusion processes☆ [PDF]
Journal of Financial Economics, 2008 Abstract Recent asset-pricing models incorporate jump risk through Levy processes in addition to diffusive risk. This paper studies how to detect stochastic arrivals of small and big Levy jumps with new nonparametric tests. The tests allow for robust analysis of their separate characteristics and facilitate better estimation of return dynamics ...
Suzanne S. Lee, Jan Hannig
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Modeling Regulation of Economic Sustainability in Energy Systems with Diversified Resources
Sci, 2021 The imperfection of theoretical and methodological approaches to regulate the jump process transition when combining differentiated energy resources is a pressing issue.
Anatoly Alabugin, Sergei Aliukov
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Regularity of models associated with Markov jump processes
Open Mathematics, 2022 We consider a jump Markov process X=(Xt)t≥0X={\left({X}_{t})}_{t\ge 0}, with values in a state space (E,ℰ)\left(E,{\mathcal{ {\mathcal E} }}). We suppose that the corresponding infinitesimal generator πθ(x,dy),x∈E{\pi }_{\theta }\left(x,{\rm{d}}y),x\in E,
Jedidi Wissem
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Game-Theoretic Optimal Portfolios for Jump Diffusions
Games, 2019 This paper studies a two-person trading game in continuous time that generalizes Garivaltis (2018) to allow for stock prices that both jump and diffuse.
Alex Garivaltis
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Interest-Rate Products Pricing Problems with Uncertain Jump Processes
Discrete Dynamics in Nature and Society, 2021 Uncertain differential equations (UDEs) with jumps are an essential tool to model the dynamic uncertain systems with dramatic changes. The interest rates, impacted heavily by human uncertainty, are assumed to follow UDEs with jumps in ideal markets ...
Yiyao Sun, Shiqin Liu
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Power Exchange Option with a Hybrid Credit Risk under Jump-Diffusion Model
Mathematics, 2021 In this paper, we study the valuation of power exchange options with a correlated hybrid credit risk when the underlying assets follow the jump-diffusion processes.
Junkee Jeon, Geonwoo Kim
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