Search Results - JUMP PROCESSES

First-Hitting Problems for Jump-Diffusion Processes with State-Dependent Uniform Jumps by Mario Lefebvre, Ibrahim Elmojtaba

“…Let <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><mrow><mo>{</mo><mi>X</mi><mo>(</mo><mi>t</mi><mo>)</mo><mo>,</mo><mi>t</mi><mo>≥</mo><mn>0</mn><mo>}</mo></mrow></semantics></math></inline-formula> be a one-dimensional jump-diffusion process whose continuous part is either a Wiener, Ornstein–Uhlenbeck, or generalized Bessel process. …”
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Option Pricing with Stochastic Volatility and Jump Diffusion Processes by Radu Lupu

Subjects: “…jump-diffusion processes…”
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Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms by Yuzhen Wen, Chuancun Yin

“…We consider the two-sided first-exit problem for a jump process having jumps with rational Laplace transform. …”
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Stochastic Calculus for Pathwise Observables of Markov-Jump Processes: Unification of Diffusion and Jump Dynamics by Lars Torbjørn Stutzer, Cai Dieball, Aljaž Godec

“…So far, theories focusing on pathwise observables have been developing in two major directions, diffusion processes and Markov-jump dynamics, in a virtually disjoint manner. …”
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Regularity of models associated with Markov jump processes by Jedidi Wissem

Subjects: “…jump markov process…”
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Modelling river flows as jump-diffusion processes by Mario Lefebvre

“…The streamflow of a river is modelled as a jump-diffusion process. The jump size is distributed as an exponential random variable. …”
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Estimating Equations for Density Dependent Markov Jump Processes by Oluseyi Odubote, Daniel F. Linder

Subjects: “…density dependent Markov jump processes…”
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Multifractal Analysis of Infinite Products of Stationary Jump Processes by Petteri Mannersalo, Ilkka Norros, Rudolf H. Riedi

“…This paper considers a subclass of MPSP which is determined by jump processes with i.i.d. exponentially distributed interjump times. …”
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Uncertain Population Model with Jumps by Caiwen Gao, Zhiqiang Zhang, Baoliang Liu

“…The drastic changes lead to jumps in the population and make the sample path no longer continuous. …”
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Some Exact Results on Lindley Process with Laplace Jumps by Emanuele Lucrezia, Laura Sacerdote, Cristina Zucca

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Option Pricing under the Jump Diffusion and Multifactor Stochastic Processes by Shican Liu, Yanli Zhou, Yonghong Wu, Xiangyu Ge

“…The numerical results show an efficient explanation for volatility smirks when we incorporate jumps into both the stock process and the volatility process.…”
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Stochastic Equations and Equations for Probabilistic Characteristics of Processes with Damped Jumps by I. V. Melnikova, V. A. Bovkun

“…They allow to simulate not only abrupt changes in the values of processes with jumps, but also the subsequent return of values to their original or near the original position. …”
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Interest-Rate Products Pricing Problems with Uncertain Jump Processes by Yiyao Sun, Shiqin Liu

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Extremal jumps of circuit complexity of unitary evolutions generated by random Hamiltonians by Marcin Kotowski, Michał Oszmaniec, Michał Horodecki

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Multidimensional Markovian BSDEs with Jumps and Continuous Generators by Mhamed Eddahbi, Anwar Almualim, Nabil Khelfallah, Imène Madoui

Subjects: “…Markov processes…”
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Poincaré-Type Inequalities for Compact Degenerate Pure Jump Markov Processes by Pierre Hodara, Ioannis Papageorgiou

“…We aim to prove Poincar&#233; inequalities for a class of pure jump Markov processes inspired by the model introduced by Galves and L&#246;cherbach to describe the behavior of interacting brain neurons. …”
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First-Passage Times and Optimal Control of Integrated Jump-Diffusion Processes by Mario Lefebvre

“…First-passage-time problems for the degenerate two-dimensional process <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><mrow><mo>(</mo><mi>X</mi><mo>(</mo><mi>t</mi><mo>)</mo><mo>,</mo><mi>Y</mi><mo>(</mo><mi>t</mi><mo>)</mo><mo>)</mo></mrow></semantics></math></inline-formula> are considered in the case when the process leaves the continuation region at the latest at the moment of the first jump, and the problem of optimally controlling the process is treated as well. …”
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Convergence of Limiting Cases of Continuous-Time, Discrete-Space Jump Processes to Diffusion Processes for Bayesian Inference by Aaron Lanterman

“…We consider a class of random sampling algorithms based on continuous-time jump processes. The semigroup theory of random processes lets us show that limiting cases of certain jump processes acting on discretized spaces converge to diffusion processes as the discretization is refined. …”
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A Fractional Process with Jumps for Modeling Karstic Spring Discharge Data by Dániel Boros, Edit Borbás, Amina Darougi, József Kovács, László Márkus

Subjects: “…jump process…”
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Lifetime Estimation for Multi-Phase Deteriorating Process with Random Abrupt Jumps by Jianxun Zhang, Xiaosheng Si, Dangbo Du, Chen Hu, Changhua Hu

“…Firstly, a multi-phase degradation model with jumps based on the Wiener process is formulated to describe the multi-phase degradation pattern. …”
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