Multifractality of jump diffusion processes
نویسندگان
چکیده
منابع مشابه
Jump 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’....
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ژورنال
عنوان ژورنال: Annales de l'Institut Henri Poincaré, Probabilités et Statistiques
سال: 2018
ISSN: 0246-0203
DOI: 10.1214/17-aihp864