Results 21 to 30 of about 486,489 (281)
, 2020 We study a family of mean field games with a state variable evolving as a multivariate jump diffusion process. The jump component is driven by a Poisson process with a time-dependent intensity function. All coefficients, i.e.
Benazzoli, Chiara +2 more
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The fine structure of asset returns: an empirical investigation [PDF]
, 2002 We investigate the importance of diffusion and jumps in a new model for asset returns. In contrast to standard models, we allow for jump components displaying finite or infinite activity and variation.
Carr, P. +3 more
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Convergence of hitting times for jump-diffusion processes
Modern Stochastics: Theory and Applications, 2015 We investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with jumps.
Georgiy Shevchenko
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Traveling-wave tubes on looping waveguides with a potential jump
Доклады Белорусского государственного университета информатики и радиоэлектроники, 2021 Using computer simulation, a study of the effect of a potential jump on the interaction processes in O-type traveling-wave tubes has been carried out.
A. V. Aksenchyk, I. F. Kirynovich
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Geometric approximations to transition densities of Jump-type Markov processes
Open Mathematics, 2021 This paper is concerned with the transition functions of symmetric Levy-type processes generated by a pseudo-differential operator with variable coefficients.
Zhuang Yuanying, Song Xiao
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Спортивная медицина: наука и практика, 2023 Aim of the study: to identify mutual interaction between the reaction to a moving object with functional state of the central nervous system and kinematic-dynamic parameters of complex coordination movement.Materials and methods: 9 elite alpine skiers ...
A. S. Kryuchkov +4 more
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Modular Jump Gaussian Processes
Data Science in ScienceGaussian processes (GPs) furnish accurate nonlinear predictions with well-calibrated uncertainty. However, the typical GP setup has a built-in stationarity assumption, making it ill-suited for modeling data from processes with sudden changes, or “jumps ...
Anna R. Flowers +4 more
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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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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
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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
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