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Advanced Search Results For "JUMP processes"

1 - 10 of 3,229 results for
 "JUMP processes"
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Kolmogorov's equations for jump Markov processes with unbounded jump rates.

Publication Type: Academic Journal

Source(s): Annals of Operations Research. Oct2022, Vol. 317 Issue 2, p587-604. 18p.

Abstract: As is well-known, transition probabilities of jump Markov processes satisfy Kolmogorov's backward and forward equations. In the seminal 1940 paper, William Feller investigated solutions of Kolmogorov's equations for jump Markov processes. Recently the ...

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Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models.

Publication Type: Academic Journal

Source(s): Communications in Statistics: Theory & Methods. 2022, Vol. 51 Issue 21, p7354-7389. 36p.

Abstract: The occurrence of economic policies and other sudden and large shocks often bring out jumps in financial data, which can be characterized through continuous-time jump-diffusion model. In this paper, we will adopt convoluted smoothed approach to estimat...

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A Gaussian jump process formulation of the reaction–diffusion master equation enables faster exact stochastic simulations.

Publication Type: Academic Journal

Source(s): Journal of Chemical Physics. 11/21/2022, Vol. 157 Issue 19, p1-16. 16p.

Abstract: We propose a Gaussian jump process model on a regular Cartesian lattice for the diffusion part of the Reaction–Diffusion Master Equation (RDME). We derive the resulting Gaussian RDME (GRDME) formulation from analogy with a kernel-based discretization s...

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Modeling the volatility of FTSE100 index returns using realized GARCH model with jumps.

Publication Type: Conference

Source(s): AIP Conference Proceedings. 2022, Vol. 2542 Issue 1, p1-8. 8p.

Abstract: This study compares the fitting performance of the Realized GARCH(1,1) model with jumps with that of the standard GARCH(1,1) models. The realized volatility measure is based on the realized kernel. Each model is estimated by using the Generalized Reduc...

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Testing for the presence of jump components in jump diffusion models.

Publication Type: Periodical

Source(s): Journal of Econometrics. Oct2022, Vol. 230 Issue 2, p483-509. 27p.

Authors:

Abstract: In this paper we propose a nonparametric test to determine whether an underlying jump diffusion process indeed contains jump component, or equivalently, is indeed a diffusion. Our test is based upon a robust threshold estimation of diffusive volatility...

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A STOCHASTIC DIFFUSION LOGISTIC GROWTH PRICE MODEL WITH EXTERNAL JUMP PROCESS.

Publication Type: Academic Journal

Source(s): Journal of Management Information & Decision Sciences. Sep2022, Vol. 25 Issue 5, p1-10. 10p.

Abstract: This study provides a methodology for analyzing price behavior. In place of typical before-and-after regression approaches and time series analysis, a new stochastic diffusion logistic growth price model based on stochastic differential equations is de...

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A Stochastic Representation for Nonlocal Parabolic PDEs with Applications.

Publication Type: Academic Journal

Source(s): Mathematics of Operations Research. Aug2022, Vol. 47 Issue 3, p1707-1730. 24p.

Abstract: We establish a stochastic representation for a class of nonlocal parabolic terminal–boundary value problems, whose terminal and boundary conditions depend on the solution in the interior domain; in particular, the solution is represented as the expecta...

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Heavy-tailed phase-type distributions: a unified approach.

Publication Type: Academic Journal

Source(s): Extremes. Sep2022, Vol. 25 Issue 3, p529-565. 37p.

Abstract: A phase-type distribution is the distribution of the time until absorption in a finite state-space time-homogeneous Markov jump process, with one absorbing state and the rest being transient. These distributions are mathematically tractable and concept...

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Non-equilibrium Stationary Properties of the Boundary Driven Zero-Range Process with Long Jumps.

Publication Type: Academic Journal

Source(s): Journal of Statistical Physics. Dec2022, Vol. 189 Issue 3, p1-32. 32p.

Abstract: We consider the zero-range process with long jumps and in contact with infinitely extended reservoirs in its non-equilibrium stationary state. We derive the hydrostatic limit and the Fick's law, which are a consequence of a static relationship between ...

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Self-exciting jump processes and their asymptotic behaviour.

Publication Type: Academic Journal

Source(s): Stochastics: An International Journal of Probability & Stochastic Processes. Dec2022, Vol. 94 Issue 8, p1166-1185. 20p.

Abstract: The purpose of this paper is to investigate properties of self-exciting jump processes where the intensity is given by an SDE, which is driven by a finite variation stochastic jump process. The value of the intensity process immediately before a jump m...

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