منابع مشابه
Jump processes
Although historically models in mathematical finance were based on Brownian motion and thus are models with continuous price paths, jump processes play now a key role across all areas of finance (see e.g. [5]). One reason for this move into a new class of processes is that because of their distributional properties diffusions in many cases cannot provide a realistic picture of empirically obser...
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Learning 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. We introduce a conditional probabilistic model that captures such dynamics, while maintaining scalability and providing an explicit way to express...
متن کاملJump-type Lévy processes
The assumption that observations are normally distributed is predominant in many areas of statistics. So is the situation with time series of financial data where from the very beginning of continuous-time modeling Brownian motion itself or geometric Brownian motion became the favorites. This is largely due to the fact that the normal distribution as well as the continuous-time process it gener...
متن کاملControlled Jump Diffusion
This paper concerns the optimal stopping time problem in a nite horizon of a controlled jump diiusion process. We prove that the value function is continuous and is a viscosity solution of the inte-grodiierential variational inequality arising from the associated dynamic programming. We also establish comparison principles, which yield uniqueness results. Moreover, the viscosity solution approa...
متن کاملJump-type Fleming-viot Processes
In 1991 Perkins [7] showed that the normalized critical binary branching process is a time inhomogeneous Fleming-Viot process. In the present paper we extend this result to jump-type branching processes and we show that the normalized jump-type branching processes are in a new class of probability measure-valued processes which will be called “jump-type Fleming-Viot processes”. Furthermore we a...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1975
ISSN: 0304-4149
DOI: 10.1016/0304-4149(75)90025-3