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Quantum jumps as an objective process of nature
Physical Review A, 1995We study the time evolution of a linear superposition of two spatially separated wave packets, and we focus on the entanglement of the two distinct branches of the state vector with the environment. We focus in particular on the dynamics of a dissipative oscillator under the influence of objective processes of wave-function collapse, the continuous ...
L. Tessieri, VITALI, David, P. Grigolini
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The Representation of Martingales of Jump Processes
SIAM Journal on Control and Optimization, 1976In this paper it is shown that all local martingales of the $\sigma $-fields generated by a jump process of very general type can be represented as stochastic integrals with respect to a fundamental family of martingales associated with the jump process.
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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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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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Multivariate self-exciting jump processes with applications to financial data
Bernoulli, 2023Heidar Eyjolfsson, Dag Tjøstheim
exaly
Pricing options on the maximum or minimum of multi-assets under jump-diffusion processes
International Review of Economics and Finance, 2020Xingchun Wang
exaly