Bibliografie tematiche / Jump processes

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Letteratura scientifica selezionata sul tema "Jump processes"

Autore: Grafiati
Pubblicato: 4 giugno 2021
Ultima modifica: 29 luglio 2024

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Articoli di riviste sul tema "Jump processes"

1

Lee, Suzanne S., and Jan Hannig. "Detecting jumps from Lévy jump diffusion processes☆." Journal of Financial Economics 96, no. 2 (May 2010): 271–90. http://dx.doi.org/10.1016/j.jfineco.2009.12.009.

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V. Poliarus, O., Y. O. Poliakov, I. L. Nazarenko, Y. T. Borovyk, and M. V. Kondratiuk. "Detection of Jumps Parameters in Economic Processes(the Case of Modelling Profitability)." International Journal of Engineering & Technology 7, no. 4.3 (September 15, 2018): 488. http://dx.doi.org/10.14419/ijet.v7i4.3.19922.

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Abstract (sommario):
A new method of parameters jumps detection in economic processes is presented. A jump of the economic process parameter must be understood as a rapid parameter change for a time that does not exceed the period of process registration. A system of stochastic differential equations for a posteriori density probability of a jump is synthesized. The solution of the system is the probability of a parameter jump, the estimation and variance of the jump in the presence of a priori information under conditions of noise influence. The simulation results are conducted for profitability of machine buildi
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Breuer, Lothar. "A quintuple law for Markov additive processes with phase-type jumps." Journal of Applied Probability 47, no. 2 (June 2010): 441–58. http://dx.doi.org/10.1239/jap/1276784902.

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Abstract (sommario):
We consider a Markov additive process (MAP) with phase-type jumps, starting at 0. Given a positive level u, we determine the joint distribution of the undershoot and overshoot of the first jump over the level u, the maximal level before this jump, the time of attaining this maximum, and the time between the maximum and the jump. The analysis is based on first passage times and time reversion of MAPs. A marginal of the derived distribution is the Gerber-Shiu function, which is of interest to insurance risk. Several examples serve to compare the present result with the literature.
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Breuer, Lothar. "A quintuple law for Markov additive processes with phase-type jumps." Journal of Applied Probability 47, no. 02 (June 2010): 441–58. http://dx.doi.org/10.1017/s0021900200006744.

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Abstract (sommario):
We consider a Markov additive process (MAP) with phase-type jumps, starting at 0. Given a positive level u, we determine the joint distribution of the undershoot and overshoot of the first jump over the level u, the maximal level before this jump, the time of attaining this maximum, and the time between the maximum and the jump. The analysis is based on first passage times and time reversion of MAPs. A marginal of the derived distribution is the Gerber-Shiu function, which is of interest to insurance risk. Several examples serve to compare the present result with the literature.
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Ratanov, Nikita. "Damped jump-telegraph processes." Statistics & Probability Letters 83, no. 10 (October 2013): 2282–90. http://dx.doi.org/10.1016/j.spl.2013.06.018.

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Mufa, Chen. "Coupling for jump processes." Acta Mathematica Sinica 2, no. 2 (June 1986): 123–36. http://dx.doi.org/10.1007/bf02564874.

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Gyöngy, István, and Sizhou Wu. "On Itô formulas for jump processes." Queueing Systems 98, no. 3-4 (August 2021): 247–73. http://dx.doi.org/10.1007/s11134-021-09709-8.

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AbstractA well-known Itô formula for finite-dimensional processes, given in terms of stochastic integrals with respect to Wiener processes and Poisson random measures, is revisited and is revised. The revised formula, which corresponds to the classical Itô formula for semimartingales with jumps, is then used to obtain a generalisation of an important infinite-dimensional Itô formula for continuous semimartingales from Krylov (Probab Theory Relat Fields 147:583–605, 2010) to a class of $$L_p$$ L p -valued jump processes. This generalisation is motivated by applications in the theory of stochast
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Wang, Guanying, Xingchun Wang, and Zhongyi Liu. "PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES." Probability in the Engineering and Informational Sciences 31, no. 2 (December 14, 2016): 121–38. http://dx.doi.org/10.1017/s0269964816000486.

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This paper evaluates vulnerable American put options under jump–diffusion assumptions on the underlying asset and the assets of the counterparty. Sudden shocks on the asset prices are described as a compound Poisson process. Analytical pricing formulae of vulnerable European put options and vulnerable twice-exercisable European put options are derived. Employing the two-point Geske and Johnson method, we derive an approximate analytical pricing formula of vulnerable American put options under jump–diffusions. Numerical simulations are performed for investigating the impacts of jumps and defaul
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Dumitrescu, Monica E. "Some informational properties of Markov pure-jump processes." Časopis pro pěstování matematiky 113, no. 4 (1988): 429–34. http://dx.doi.org/10.21136/cpm.1988.118348.

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Fuchs, Philip X., Julia Mitteregger, Dominik Hoelbling, Hans-Joachim K. Menzel, Jeffrey W. Bell, Serge P. von Duvillard, and Herbert Wagner. "Relationship between General Jump Types and Spike Jump Performance in Elite Female and Male Volleyball Players." Applied Sciences 11, no. 3 (January 25, 2021): 1105. http://dx.doi.org/10.3390/app11031105.

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In performance testing, it is well-established that general jump types like squat and countermovement jumps have great reliability, but the relationship with volleyball spike jumps is unclear. The objectives of this study were to analyze the relationship between general and spike jumps and to provide improved models for predicting spike jump height by general jump performance. Thirty female and male elite volleyball players performed general and spike jumps in a randomized order. Two AMTI force plates (2000 Hz) and 13 Vicon MX cameras (250 Hz) captured kinematic and kinetic data. Correlation a
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Tesi sul tema "Jump processes"

1

Conforti, Giovanni, Pra Paolo Dai, and Sylvie Roelly. "Reciprocal class of jump processes." Universität Potsdam, 2014. http://opus.kobv.de/ubp/volltexte/2014/7077/.

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Abstract (sommario):
Processes having the same bridges as a given reference Markov process constitute its reciprocal class. In this paper we study the reciprocal class of compound Poisson processes whose jumps belong to a finite set A in R^d. We propose a characterization of the reciprocal class as the unique set of probability measures on which a family of time and space transformations induces the same density, expressed in terms of the reciprocal invariants. The geometry of A plays a crucial role in the design of the transformations, and we use tools from discrete geometry to obtain an optimal characterization.
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Ornthanalai, 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.

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Abstract (sommario):
This thesis comprises of three essays that explore the theoretical development as well as the empirical applications of asset pricing models with Lévy jump processes. The first essay presents a new discrete-time framework that combines heteroskedastic processes with rich specifications of jumps in returns and volatility. Our models can be estimated with ease using standard maximum likelihood techniques. We evaluate the models by fitting a long sample of S&P500 index returns, and by valuing a large sample of options. We find strong empirical support for time-varying jump intensities
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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.

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Abstract (sommario):
This thesis consists of two parts. The first part (Chapters 2-4) considers multilevel Monte Carlo for option pricing in finite activity jump-diffusion models. We use a jump-adapted Milstein discretisation for constant rate cases and with the thinning method for bounded state-dependent rate cases. Multilevel Monte Carlo estimators are constructed for Asian, lookback, barrier and digital options. The computational efficiency is numerically demonstrated and analytically justified. The second part (Chapter 5) deals with option pricing problems in exponential Lévy models where the increments of the
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Skoog, 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.

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Saeedi, Ardavan. "Nonparametric Bayesian models for Markov jump processes." Thesis, University of British Columbia, 2012. http://hdl.handle.net/2429/42963.

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Abstract (sommario):
Markov jump processes (MJPs) have been used as models in various fields such as disease progression, phylogenetic trees, and communication networks. The main motivation behind this thesis is the application of MJPs to data modeled as having complex latent structure. In this thesis we propose a nonparametric prior, the gamma-exponential process (GEP), over MJPs. Nonparametric Bayesian models have recently attracted much attention in the statistics community, due to their flexibility, adaptability, and usefulness in analyzing complex real world datasets. The GEP is a prior over infinite rate mat
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Bu, 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.

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Abstract (sommario):
The main contribution of this thesis is to derive the properties and present a closed from solution of the exotic options under some specific types of Levy processes, such as American put options, American call options, British put options, British call options and American knock-out put options under either double exponential jump-diffusion processes or one-sided exponential jump-diffusion processes. Compared to the geometric Brownian motion, exponential jump-diffusion processes can better incorporate the asymmetric leptokurtic features and the volatility smile observed from the market. Prici
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Mina, Francesco. "On Markovian approximation schemes of jump processes." Thesis, Imperial College London, 2014. http://hdl.handle.net/10044/1/48049.

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Abstract (sommario):
The topic of this thesis is the study of approximation schemes of jump processes whose driving noise is a Levy process. In the first part of our work we study properties of the driving noise. We present a novel approximation method for the density of a Levy process. The scheme makes use of a continuous time Markov chain defined through a careful analysis of the generator. We identify the rate of convergence and carry out a detailed analysis of the error. We also analyse the case of multidimensional Levy processes in the form of subordinate Brownian motion. We provide a weak scheme to approxima
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8

Wong, Wee Chin. "Estimation and control of jump stochastic systems." Diss., Atlanta, Ga. : Georgia Institute of Technology, 2009. http://hdl.handle.net/1853/31775.

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Abstract (sommario):
Thesis (Ph.D)--Chemical Engineering, Georgia Institute of Technology, 2010.<br>Committee 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.
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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.

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In this study, we show that realized bipower variation which is an extension of realized power variation is an alternative method that estimates integrated variance like realized variance. It is seen that realized bipower variation is robust to rare jumps. Robustness means that if we add rare jumps to a stochastic volatility process, realized bipower variation process continues to estimate integrated variance although realized variance estimates integrated variance plus the quadratic variation of the jump component. This robustness is crucial since it separates the discontinuous component of q
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El-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.

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Libri sul tema "Jump processes"

1

Peter, Tankov, ed. Financial modelling with jump processes. Boca Raton, Fla: Chapman & Hall/CRC, 2004.

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2

Breuer, Lothar. From Markov Jump Processes to Spatial Queues. Dordrecht: Springer Netherlands, 2003. http://dx.doi.org/10.1007/978-94-010-0239-4.

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Zhang, Qingling. Analysis and design of singular Markovian jump systems. Heidelberg: Springer, 2014.

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4

Czornik, Adam. On control problems for jump linear systems. Gliwice: Wydawn. Politechniki Śląskiej, 2003.

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5

Hanson, Floyd B. Applied stochastic processes and control for Jump-diffusions: Modeling, analysis, and computation. Philadelphia, PA: Society for Industrial and Applied Mathematics, 2007.

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6

Mariton, M. Jump linear systems in automatic control. New York: M. Dekker, 1990.

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7

Horiuchi, Shigeto. Isoperimetric inequalities and capacities of symmetric Markov processes with jumps and killings. Kobe: Institute of Economic Research, Kobe University of Commerce, 2001.

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Costa, Oswaldo Luiz Valle. Discrete-Time Markov Jump Linear Systems. London: Springer London, 2005.

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Duffie, Darrell. Transform analysis and asset pricing for affine jump-diffusions. Cambridge, MA: National Bureau of Economic Research, 1999.

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Barlow, M. T. Heat kernel upper bounds for jump processes and the first exit time. Kyoto, Japan: Kyōto Daigaku Sūri Kaiseki Kenkyūjo, 2006.

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Capitoli di libri sul tema "Jump processes"

1

Gikhman, Iosif Ilyich, and Anatoli Vladimirovich Skorokhod. "Jump Processes." In 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.

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Szulga, Jerzy. "Jump Processes." In Introduction to Random Chaos, 97–120. Boca Raton: Routledge, 2022. http://dx.doi.org/10.1201/9780203749906-7.

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Tabar, M. Reza Rahimi. "Jump-Diffusion Processes." In Understanding Complex Systems, 111–21. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-18472-8_12.

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Chiarella, Carl, Xue-Zhong He, and Christina Sklibosios Nikitopoulos. "Jump-Diffusion Processes." In 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.

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Breuer, Lothar. "Markov Jump Processes." In 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.

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Berger, Marc A. "Markov Jump Processes." In 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.

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Breuer, Lothar. "Markov-Additive Jump Processes." In 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.

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Kolesnik, Alexander D., and Nikita Ratanov. "Asymmetric Jump-Telegraph Processes." In 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.

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Shreve, Steven E. "Introduction to Jump Processes." In Springer Finance, 461–526. New York, NY: Springer New York, 2004. http://dx.doi.org/10.1007/978-1-4757-4296-1_11.

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Eberlein, Ernst. "Jump–Type Lévy Processes." In 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.

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Atti di convegni sul tema "Jump processes"

1

Sebghati, Mohammad Ali, and Hamidreza Amindavar. "Tracking jump processes using particle filtering." In 2008 IEEE Sensor Array and Multichannel Signal Processing Workshop (SAM). IEEE, 2008. http://dx.doi.org/10.1109/sam.2008.4606901.

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Levine, A. M., A. G. Kofman, R. Zaibel, and Yehiam Prior. "Non-Markovian jump processes in lasers." In ADVANCES IN LASER SCIENCE−IV. AIP, 1989. http://dx.doi.org/10.1063/1.38571.

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Dahl, Kristina Rognlien, and Heidar Eyjolfsson. "Self-Exciting Jump Processes as Deterioration Models." In 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.

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Zheng, Yingchun, Shougang Zhang, and Yunfeng Yang. "Dynamic Asset Allocation with Jump-Diffusion Processes." In 2019 15th International Conference on Computational Intelligence and Security (CIS). IEEE, 2019. http://dx.doi.org/10.1109/cis.2019.00103.

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Wan, Shuping. "Risk Sensitive Optimal Portfolio Model under Jump Processes." In 2006 Chinese Control Conference. IEEE, 2006. http://dx.doi.org/10.1109/chicc.2006.280664.

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Fragoso, M. D., and T. T. da Silva. "A note on jump-type Fleming-Viot processes." In 2004 43rd IEEE Conference on Decision and Control (CDC) (IEEE Cat. No.04CH37601). IEEE, 2004. http://dx.doi.org/10.1109/cdc.2004.1429402.

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Prior, Yehiam, A. G. Kofman, R. Zaibel, and A. M. Levine. "Non-Markovian Stochastic Jump Processes In Nonlinear Optics." In Intl Conf on Trends in Quantum Electronics, edited by Ioan Ursu. SPIE, 1989. http://dx.doi.org/10.1117/12.950608.

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Theodorou, E. A., and E. Todorov. "Stochastic optimal control for nonlinear markov jump diffusion processes." In 2012 American Control Conference - ACC 2012. IEEE, 2012. http://dx.doi.org/10.1109/acc.2012.6315408.

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Wang, Ziyi, Grady Williams, and Evangelos A. Theodorou. "Information Theoretic Model Predictive Control on Jump Diffusion Processes." In 2019 American Control Conference (ACC). IEEE, 2019. http://dx.doi.org/10.23919/acc.2019.8815263.

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Maginnis, Peter A., Matthew West, and Geir E. Dullerud. "Variance-reduced model predictive control of Markov jump processes." In 2016 American Control Conference (ACC). IEEE, 2016. http://dx.doi.org/10.1109/acc.2016.7526512.

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Rapporti di organizzazioni sul tema "Jump processes"

1

Elliott, Robert J. Filtering of Jump Processes. Fort Belvoir, VA: Defense Technical Information Center, October 1987. http://dx.doi.org/10.21236/ada189701.

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Aït-Sahalia, Yacine, Julio Cacho-Diaz, and Roger J. A. Laeven. Modeling Financial Contagion Using Mutually Exciting Jump Processes. Cambridge, MA: National Bureau of Economic Research, March 2010. http://dx.doi.org/10.3386/w15850.

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Dupuis, Paul, and Yufei Liu. On the Large Deviation Rate Function for the Empirical Measures of Reversible Jump Markov Processes. Fort Belvoir, VA: Defense Technical Information Center, September 2013. http://dx.doi.org/10.21236/ada614710.

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Соловйов, В. М., В. В. Соловйова та 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.

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Abstract (sommario):
Modem market economy of any country cannot successfully behave without the existence of the effective financial market. In the conditions of growing financial market, it is necessary to use modern risk-management methods, which take non-gaussian distributions into consideration. It is known, that financial and economic time series return’s distributions demonstrate so-called «heavy tails», which interrupts the modeling o f these processes with classical statistical methods. One o f the models, that is able to describe processes with «heavy tails», are the а -stable Levi processes. They can sli
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Platen, E. On a Wide Range Exclusion Process in Random Medium with Local Jump Intensity. Fort Belvoir, VA: Defense Technical Information Center, August 1988. http://dx.doi.org/10.21236/ada200510.

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Bates, David. Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options. Cambridge, MA: National Bureau of Economic Research, December 1993. http://dx.doi.org/10.3386/w4596.

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Rezaie, Shogofa, Fedra Vanhuyse, Karin André, and Maryna Henrysson. Governing the circular economy: how urban policymakers can accelerate the agenda. Stockholm Environment Institute, September 2022. http://dx.doi.org/10.51414/sei2022.027.

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We believe the climate crisis will be resolved in cities. Today, while cities occupy only 2% of the Earth's surface, 57% of the world's population lives in cities, and by 2050, it will jump to 68% (UN, 2018). Currently, cities consume over 75% of natural resources, accumulate 50% of the global waste and emit up to 80% of greenhouse gases (Ellen MacArthur Foundation, 2017). Cities generate 70% of the global gross domestic product and are significant drivers of economic growth (UN-Habitat III, 2016). At the same time, cities sit on the frontline of natural disasters such as floods, storms and dr
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Petit, Vincent. Road to a rapid transition to sustainable energy security in Europe. Schneider Electric Sustainability Research Institute, October 2022. http://dx.doi.org/10.58284/se.sri.bcap9655.

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Decarbonization and energy security in Europe are two faces of the same coin. They are both related to the large dependency of the European Union economy on fossil fuels, which today represent around 70% of the total supply of energy. The bulk of these energy resources are imported, with Russia being the largest supplier, accounting for 40% of natural gas and 27% of oil imports. However, fossil fuels are also the primary root cause of greenhouse gas emissions, and the European Union is committed to reduce those by 55% by 2030 (versus 1990). This report is based on the landmark research from th
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The 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., December 2019. http://dx.doi.org/10.14526/2070-4798-2019-14-4-67-79.

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