Results 11 to 20 of about 5,321,021 (304)
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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Symmetric Jump Processes [PDF]
Transactions of the American Mathematical Society, 1974 We use the theory of Dirichlet spaces to construct symmetric Markov processes of pure jump type and to identify the Lévy measures for these processes. Particular attention is paid to lattice and hard sphere systems which interact through speed change and exclusion.
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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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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 +2 more
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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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Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets
Econometrics, 2016 This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility ...
Xin Zhang, Donggyu Kim, Yazhen Wang
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Option Pricing with Stochastic Volatility and Jump Diffusion Processes [PDF]
Theoretical and Applied Economics, 2006 Option pricing by the use of Black Scholes Merton (BSM) model is based on the assumption that asset prices have a lognormal distribution. In spite of the use of these models on a large scale, both by practioners and academics, the assumption of ...
Radu Lupu
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Journal of Statistical Software, 2023 We introduce a Python library, called jumpdiff, which includes all necessary functions to assess jump-diffusion processes. This library includes functions which compute a set of non-parametric estimators of all contributions composing a jump-diffusion ...
Leonardo Rydin Gorjão +2 more
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Probabilistic Resistive Switching Device Modeling Based on Markov Jump Processes
IEEE Access, 2021 In this work, a versatile mathematical framework for multi-state probabilistic modeling of Resistive Switching (RS) devices is proposed for the first time. The mathematical formulation of memristor and Markov jump processes are combined and, by using the
Vasileios Ntinas +2 more
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, 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.
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