Local linear approximations of jump diffusion processes
نویسندگان
چکیده
منابع مشابه
On Local Linear Approximations to Diffusion Processes
Diffusion models have been used extensively in many applications. These models, such as those used in the financial engineering, usually contain unknown parameters which we wish to determine. One way is to use the maximum likelihood method with discrete samplings to devise statistics for unknown parameters. In general, the maximum likelihood functions for diffusion models are not available, hen...
متن کاملSaddlepoint Approximations for Affine Jump-Diffusion Models
Affine jump-diffusion (AJD) processes constitute a large and widely used class of continuoustime asset pricing models that balance tractability and flexibility in matching market data. The prices of e.g., bonds, options, and other assets in AJD models are given by extended pricing transforms that have an exponential-affine form; these transforms have been characterized in great generality by Du...
متن کاملMarkov chain approximations for symmetric jump processes
Markov chain approximations of symmetric jump processes are investigated. Tightness results and a central limit theorem are established. Moreover, given the generator of a symmetric jump process with state space Rd the approximating Markov chains are constructed explicitly. As a byproduct we obtain a definition of the Sobolev space Hα/2(Rd), α ∈ (0, 2), that is equivalent to the standard one.
متن کاملJump locations of jump-diffusion processes with state-dependent rates
We propose a general framework for studying statistics of jump-diffusion systems driven by both Brownian noise (diffusion) and a jump process with state-dependent intensity. Of particular natural interest in many physical systems are the jump locations: the system evaluated at the jump times. As an example, this could be the voltage at which a neuron fires, or the so-called ‘threshold voltage’....
متن کاملStability Properties of Constrained Jump - Diffusion Processes
We consider a class of jump-diffusion processes, constrained to a polyhedral cone G ⊂ IRn, where the constraint vector field is constant on each face of the boundary. The constraining mechanism corrects for “attempts” of the process to jump outside the domain. Under Lipschitz continuity of the Skorohod map Γ, it is known that there is a cone C such that the image Γφ of a deterministic linear tr...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2006
ISSN: 0021-9002
DOI: 10.1239/jap/1143936252