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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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Kolmogorov's Equations for Jump Markov Processes and Their Applications to Control Problems
Theory of Probability and Its Applications, 2022A N Shiryaev
exaly
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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Pricing options on the maximum or minimum of multi-assets under jump-diffusion processes
International Review of Economics and Finance, 2020Xingchun Wang
exaly
Self-exciting jump processes and their asymptotic behaviour
Stochastics, 2022Kristina Rognlien Dahl +1 more
exaly
On Markov Jump Processes Imbedded at Jump Epochs and Their Queueing-Theoretic Applications
Mathematics of Operations Research, 1982Benjamin Melamed
exaly