Literatura académica sobre el tema "Jump processes"
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Artículos de revistas sobre el tema "Jump processes"
Lee, Suzanne S. y Jan Hannig. "Detecting jumps from Lévy jump diffusion processes☆". Journal of Financial Economics 96, n.º 2 (mayo de 2010): 271–90. http://dx.doi.org/10.1016/j.jfineco.2009.12.009.
Texto completoV. Poliarus, O., Y. O. Poliakov, I. L. Nazarenko, Y. T. Borovyk y M. V. Kondratiuk. "Detection of Jumps Parameters in Economic Processes(the Case of Modelling Profitability)". International Journal of Engineering & Technology 7, n.º 4.3 (15 de septiembre de 2018): 488. http://dx.doi.org/10.14419/ijet.v7i4.3.19922.
Texto completoBreuer, Lothar. "A quintuple law for Markov additive processes with phase-type jumps". Journal of Applied Probability 47, n.º 2 (junio de 2010): 441–58. http://dx.doi.org/10.1239/jap/1276784902.
Texto completoBreuer, Lothar. "A quintuple law for Markov additive processes with phase-type jumps". Journal of Applied Probability 47, n.º 02 (junio de 2010): 441–58. http://dx.doi.org/10.1017/s0021900200006744.
Texto completoRatanov, Nikita. "Damped jump-telegraph processes". Statistics & Probability Letters 83, n.º 10 (octubre de 2013): 2282–90. http://dx.doi.org/10.1016/j.spl.2013.06.018.
Texto completoMufa, Chen. "Coupling for jump processes". Acta Mathematica Sinica 2, n.º 2 (junio de 1986): 123–36. http://dx.doi.org/10.1007/bf02564874.
Texto completoGyöngy, István y Sizhou Wu. "On Itô formulas for jump processes". Queueing Systems 98, n.º 3-4 (agosto de 2021): 247–73. http://dx.doi.org/10.1007/s11134-021-09709-8.
Texto completoWang, Guanying, Xingchun Wang y Zhongyi Liu. "PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES". Probability in the Engineering and Informational Sciences 31, n.º 2 (14 de diciembre de 2016): 121–38. http://dx.doi.org/10.1017/s0269964816000486.
Texto completoDumitrescu, Monica E. "Some informational properties of Markov pure-jump processes". Časopis pro pěstování matematiky 113, n.º 4 (1988): 429–34. http://dx.doi.org/10.21136/cpm.1988.118348.
Texto completoFuchs, Philip X., Julia Mitteregger, Dominik Hoelbling, Hans-Joachim K. Menzel, Jeffrey W. Bell, Serge P. von Duvillard y Herbert Wagner. "Relationship between General Jump Types and Spike Jump Performance in Elite Female and Male Volleyball Players". Applied Sciences 11, n.º 3 (25 de enero de 2021): 1105. http://dx.doi.org/10.3390/app11031105.
Texto completoTesis sobre el tema "Jump processes"
Conforti, Giovanni, Pra Paolo Dai y Sylvie Roelly. "Reciprocal class of jump processes". Universität Potsdam, 2014. http://opus.kobv.de/ubp/volltexte/2014/7077/.
Texto completoOrnthanalai, Chayawat. "Asset pricing with Lévy jump processes". Thesis, McGill University, 2009. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=66745.
Texto completoCette thèse comporte trois essais qui explorent le développement théorique ainsi que les applications empiriques des modèles d'évaluation d'actifs avec des processus de saut de Lévy. Le premier essai présente un nouveau cadre d'évaluation en temps discret qui combine à la fois des processus heteroskedastic ainsi qu'une large famille de spécifications à base des sauts dans les processus de rendement et de la volatilité. Nos modèles peuvent être facilement estimés en utilisant des techniques standard de maximum de vraisemblance. Nous évaluons les modèles proposés en les adaptant à un long échantillon de rendement sur l'indice S&P500, et en évaluant un grand échantillon d'options. Nous trouvons un fort soutien empirique pour l'existence des sauts avec intensités à temps-variables. Un modèle à saut dont l'intensité est affine avec la variance conditionnelle performe particulièrement bien a la fois pour les rendements ainsi que pour l'évaluation des options. Dans le deuxième essai, nous développons une nouvelle famille de modèles d'évaluations d'actif qui combine la flexibilité des processus de Lévy avec la facilité d'implémentations des modèles affines GARCH. Ce cadre résulte à une grande classe des processus de rendement des actifs qui ont des solutions analytiques pour leur «transforme», et mène à une évaluation simple des produits dérivés. Nous appliquons ce cadre nouvellement proposé à de divers modèles à deux-facteurs-une composante normale et une autre a base du processus à saut de Lévy. Les résultats de l'évaluation commune des options et des rendements sur l'indice du marché indiquent le rôle économique important des sauts. Nous constatons que les modèles sans sauts ne peuvent pas réconcilier la différence entre les rendements réalisés du marché et les espérances des investisseurs concernant les rendements avec un niveau de prime de risque économiquemen
Xia, Yuan. "Multilevel Monte Carlo for jump processes". Thesis, University of Oxford, 2013. http://ora.ox.ac.uk/objects/uuid:7bc8e98a-0216-4551-a1f3-1b318e514ee8.
Texto completoSkoog, Daniel. "Jump processes and the implied volatility curve". Thesis, Uppsala University, Department of Mathematics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-120040.
Texto completoSaeedi, Ardavan. "Nonparametric Bayesian models for Markov jump processes". Thesis, University of British Columbia, 2012. http://hdl.handle.net/2429/42963.
Texto completoBu, Tianren. "Option pricing under exponential jump diffusion processes". Thesis, University of Manchester, 2018. https://www.research.manchester.ac.uk/portal/en/theses/option-pricing-under-exponential-jump-diffusion-processes(0dab0630-b8f8-4ee8-8bf0-8cd0b9b9afc0).html.
Texto completoMina, Francesco. "On Markovian approximation schemes of jump processes". Thesis, Imperial College London, 2014. http://hdl.handle.net/10044/1/48049.
Texto completoWong, Wee Chin. "Estimation and control of jump stochastic systems". Diss., Atlanta, Ga. : Georgia Institute of Technology, 2009. http://hdl.handle.net/1853/31775.
Texto completoCommittee Chair: Jay H. Lee; Committee Member: Alexander Gray; Committee Member: Erik Verriest; Committee Member: Magnus Egerstedt; Committee Member: Martha Grover; Committee Member: Matthew Realff. Part of the SMARTech Electronic Thesis and Dissertation Collection.
Dursun, Havva Ozlem. "Jump Detection With Power And Bipower Variation Processes". Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/12608940/index.pdf.
Texto completoEl-Bachir, Naoufel. "Stochastic default intensity modeling with dependent jump processes". Thesis, University of Reading, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.515698.
Texto completoLibros sobre el tema "Jump processes"
Peter, Tankov, ed. Financial modelling with jump processes. Boca Raton, Fla: Chapman & Hall/CRC, 2004.
Buscar texto completoBreuer, Lothar. From Markov Jump Processes to Spatial Queues. Dordrecht: Springer Netherlands, 2003. http://dx.doi.org/10.1007/978-94-010-0239-4.
Texto completoZhang, Qingling. Analysis and design of singular Markovian jump systems. Heidelberg: Springer, 2014.
Buscar texto completoCzornik, Adam. On control problems for jump linear systems. Gliwice: Wydawn. Politechniki Śląskiej, 2003.
Buscar texto completoHanson, Floyd B. Applied stochastic processes and control for Jump-diffusions: Modeling, analysis, and computation. Philadelphia, PA: Society for Industrial and Applied Mathematics, 2007.
Buscar texto completoMariton, M. Jump linear systems in automatic control. New York: M. Dekker, 1990.
Buscar texto completoHoriuchi, Shigeto. Isoperimetric inequalities and capacities of symmetric Markov processes with jumps and killings. Kobe: Institute of Economic Research, Kobe University of Commerce, 2001.
Buscar texto completoCosta, Oswaldo Luiz Valle. Discrete-Time Markov Jump Linear Systems. London: Springer London, 2005.
Buscar texto completoDuffie, Darrell. Transform analysis and asset pricing for affine jump-diffusions. Cambridge, MA: National Bureau of Economic Research, 1999.
Buscar texto completoBarlow, M. T. Heat kernel upper bounds for jump processes and the first exit time. Kyoto, Japan: Kyōto Daigaku Sūri Kaiseki Kenkyūjo, 2006.
Buscar texto completoCapítulos de libros sobre el tema "Jump processes"
Gikhman, Iosif Ilyich y Anatoli Vladimirovich Skorokhod. "Jump Processes". En The Theory of Stochastic Processes II, 187–257. Berlin, Heidelberg: Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-642-61921-2_4.
Texto completoSzulga, Jerzy. "Jump Processes". En Introduction to Random Chaos, 97–120. Boca Raton: Routledge, 2022. http://dx.doi.org/10.1201/9780203749906-7.
Texto completoTabar, M. Reza Rahimi. "Jump-Diffusion Processes". En Understanding Complex Systems, 111–21. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-18472-8_12.
Texto completoChiarella, Carl, Xue-Zhong He y Christina Sklibosios Nikitopoulos. "Jump-Diffusion Processes". En Dynamic Modeling and Econometrics in Economics and Finance, 251–71. Berlin, Heidelberg: Springer Berlin Heidelberg, 2015. http://dx.doi.org/10.1007/978-3-662-45906-5_12.
Texto completoBreuer, Lothar. "Markov Jump Processes". En From Markov Jump Processes to Spatial Queues, 3–21. Dordrecht: Springer Netherlands, 2003. http://dx.doi.org/10.1007/978-94-010-0239-4_1.
Texto completoBerger, Marc A. "Markov Jump Processes". En Springer Texts in Statistics, 121–38. New York, NY: Springer New York, 1993. http://dx.doi.org/10.1007/978-1-4612-2726-7_6.
Texto completoBreuer, Lothar. "Markov-Additive Jump Processes". En From Markov Jump Processes to Spatial Queues, 23–39. Dordrecht: Springer Netherlands, 2003. http://dx.doi.org/10.1007/978-94-010-0239-4_2.
Texto completoKolesnik, Alexander D. y Nikita Ratanov. "Asymmetric Jump-Telegraph Processes". En Telegraph Processes and Option Pricing, 69–88. Berlin, Heidelberg: Springer Berlin Heidelberg, 2013. http://dx.doi.org/10.1007/978-3-642-40526-6_4.
Texto completoShreve, Steven E. "Introduction to Jump Processes". En Springer Finance, 461–526. New York, NY: Springer New York, 2004. http://dx.doi.org/10.1007/978-1-4757-4296-1_11.
Texto completoEberlein, Ernst. "Jump–Type Lévy Processes". En Handbook of Financial Time Series, 439–55. Berlin, Heidelberg: Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-540-71297-8_19.
Texto completoActas de conferencias sobre el tema "Jump processes"
Sebghati, Mohammad Ali y Hamidreza Amindavar. "Tracking jump processes using particle filtering". En 2008 IEEE Sensor Array and Multichannel Signal Processing Workshop (SAM). IEEE, 2008. http://dx.doi.org/10.1109/sam.2008.4606901.
Texto completoLevine, A. M., A. G. Kofman, R. Zaibel y Yehiam Prior. "Non-Markovian jump processes in lasers". En ADVANCES IN LASER SCIENCE−IV. AIP, 1989. http://dx.doi.org/10.1063/1.38571.
Texto completoDahl, Kristina Rognlien y Heidar Eyjolfsson. "Self-Exciting Jump Processes as Deterioration Models". En Proceedings of the 31st European Safety and Reliability Conference. Singapore: Research Publishing Services, 2021. http://dx.doi.org/10.3850/978-981-18-2016-8_286-cd.
Texto completoZheng, Yingchun, Shougang Zhang y Yunfeng Yang. "Dynamic Asset Allocation with Jump-Diffusion Processes". En 2019 15th International Conference on Computational Intelligence and Security (CIS). IEEE, 2019. http://dx.doi.org/10.1109/cis.2019.00103.
Texto completoWan, Shuping. "Risk Sensitive Optimal Portfolio Model under Jump Processes". En 2006 Chinese Control Conference. IEEE, 2006. http://dx.doi.org/10.1109/chicc.2006.280664.
Texto completoFragoso, M. D. y T. T. da Silva. "A note on jump-type Fleming-Viot processes". En 2004 43rd IEEE Conference on Decision and Control (CDC) (IEEE Cat. No.04CH37601). IEEE, 2004. http://dx.doi.org/10.1109/cdc.2004.1429402.
Texto completoPrior, Yehiam, A. G. Kofman, R. Zaibel y A. M. Levine. "Non-Markovian Stochastic Jump Processes In Nonlinear Optics". En Intl Conf on Trends in Quantum Electronics, editado por Ioan Ursu. SPIE, 1989. http://dx.doi.org/10.1117/12.950608.
Texto completoTheodorou, E. A. y E. Todorov. "Stochastic optimal control for nonlinear markov jump diffusion processes". En 2012 American Control Conference - ACC 2012. IEEE, 2012. http://dx.doi.org/10.1109/acc.2012.6315408.
Texto completoWang, Ziyi, Grady Williams y Evangelos A. Theodorou. "Information Theoretic Model Predictive Control on Jump Diffusion Processes". En 2019 American Control Conference (ACC). IEEE, 2019. http://dx.doi.org/10.23919/acc.2019.8815263.
Texto completoMaginnis, Peter A., Matthew West y Geir E. Dullerud. "Variance-reduced model predictive control of Markov jump processes". En 2016 American Control Conference (ACC). IEEE, 2016. http://dx.doi.org/10.1109/acc.2016.7526512.
Texto completoInformes sobre el tema "Jump processes"
Elliott, Robert J. Filtering of Jump Processes. Fort Belvoir, VA: Defense Technical Information Center, octubre de 1987. http://dx.doi.org/10.21236/ada189701.
Texto completoAït-Sahalia, Yacine, Julio Cacho-Diaz y Roger J. A. Laeven. Modeling Financial Contagion Using Mutually Exciting Jump Processes. Cambridge, MA: National Bureau of Economic Research, marzo de 2010. http://dx.doi.org/10.3386/w15850.
Texto completoDupuis, Paul y Yufei Liu. On the Large Deviation Rate Function for the Empirical Measures of Reversible Jump Markov Processes. Fort Belvoir, VA: Defense Technical Information Center, septiembre de 2013. http://dx.doi.org/10.21236/ada614710.
Texto completoСоловйов, В. М., В. В. Соловйова y Д. М. Чабаненко. Динаміка параметрів α-стійкого процесу Леві для розподілів прибутковостей фінансових часових рядів. ФО-П Ткачук О. В., 2014. http://dx.doi.org/10.31812/0564/1336.
Texto completoPlaten, E. On a Wide Range Exclusion Process in Random Medium with Local Jump Intensity. Fort Belvoir, VA: Defense Technical Information Center, agosto de 1988. http://dx.doi.org/10.21236/ada200510.
Texto completoBates, David. Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options. Cambridge, MA: National Bureau of Economic Research, diciembre de 1993. http://dx.doi.org/10.3386/w4596.
Texto completoRezaie, Shogofa, Fedra Vanhuyse, Karin André y Maryna Henrysson. Governing the circular economy: how urban policymakers can accelerate the agenda. Stockholm Environment Institute, septiembre de 2022. http://dx.doi.org/10.51414/sei2022.027.
Texto completoPetit, Vincent. Road to a rapid transition to sustainable energy security in Europe. Schneider Electric Sustainability Research Institute, octubre de 2022. http://dx.doi.org/10.58284/se.sri.bcap9655.
Texto completoThe algorithm realization of motor “running” and “standing long-jump” actions formation during the training process of 6-7 year-old preschool children. Gimazov R.M., Rembeza A.V., Bulatova G.A., diciembre de 2019. http://dx.doi.org/10.14526/2070-4798-2019-14-4-67-79.
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