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., e Jan Hannig. "Detecting jumps from Lévy jump diffusion processes☆". Journal of Financial Economics 96, n. 2 (maggio 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 e M. V. Kondratiuk. "Detection of Jumps Parameters in Economic Processes(the Case of Modelling Profitability)". International Journal of Engineering & Technology 7, n. 4.3 (15 settembre 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 building industry of Kharkiv region, Ukraine. The system provides detection of jump parameters, even in conditions of intense noise of economic nature. To increase the probability of finding jumps it is necessary to have a priori information.
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Breuer, Lothar. "A quintuple law for Markov additive processes with phase-type jumps". Journal of Applied Probability 47, n. 2 (giugno 2010): 441–58. http://dx.doi.org/10.1239/jap/1276784902.

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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, n. 02 (giugno 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, n. 10 (ottobre 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, n. 2 (giugno 1986): 123–36. http://dx.doi.org/10.1007/bf02564874.

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Gyöngy, István, e Sizhou Wu. "On Itô formulas for jump processes". Queueing Systems 98, n. 3-4 (agosto 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 stochastic PDEs.
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Wang, Guanying, Xingchun Wang e Zhongyi Liu. "PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES". Probability in the Engineering and Informational Sciences 31, n. 2 (14 dicembre 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 default risk on option prices.
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Dumitrescu, Monica E. "Some informational properties of Markov pure-jump processes". Časopis pro pěstování matematiky 113, n. 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 e Herbert Wagner. "Relationship between General Jump Types and Spike Jump Performance in Elite Female and Male Volleyball Players". Applied Sciences 11, n. 3 (25 gennaio 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 and stepwise-forward regression analyses were conducted at p < 0.05. Simple regression models with general jump height as the only predictor for spike jumps revealed 0.52 ≤ R2 ≤ 0.76 for all general jumps in both sexes (p < 0.05). Alternative models including rate of force development and impulse improved predictions during squat jumps from R2 = 0.76 to R2 = 0.92 (p < 0.05) in females and from R2 = 0.61 to R2 = 0.71 (p < 0.05) in males, and during countermovement jumps with arm swing from R2 = 0.52 to R2 = 0.78 (p < 0.01) in males. The findings include improved prediction models for spike jump height based on general jump performance. The derived formulas can be applied in general jump testing to improve the assessment of sport-specific spike jump performance.
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Tesi sul tema "Jump processes"

1

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

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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. We deduce explicit conditions for two Markov jump processes to belong to the same class. Finally, we provide a natural interpretation of the invariants as short-time asymptotics for the probability that the reference process makes a cycle around its current state.
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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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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. A model with jump intensity that is affine in the conditional variance performs particularly well both in return fitting and option valuation. In the second essay, we develop a new class of asset pricing model that combines the flexibility of Lévy processes with the ease of implementation of affine GARCH dynamics. This framework produces a large class of asset return processes that have analytical solutions for their pricing transform, and lead to a simple valuation of derivatives. We apply this newly proposed framework to various two-factor models consisting of a normal and a pure jump Lévy component. The results from joint estimation of options and returns on the market index reveal the important economic role of jumps. We find that models without jumps cannot reconcile the difference between market-realized returns and investors' ex-ante expectations of returns with an economically justifiable equity premium level. In the third essay, we provide evidence that the market crash risk is priced in individual equity options. We proceed by developing a factor model for equity returns and option pricing that takes into account the market's systematic risk factors, namely the market volatility and jump risks. The probability of large negative jumps in the market return produces the "crash fear" effect. In addition to the market risk factors, we
Cette 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
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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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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 underlying process can be directly simulated. We discuss several examples: Variance Gamma, Normal Inverse Gaussian and alpha-stable processes and present numerical experiments of multilevel Monte Carlo for Asian, lookback, barrier options, where the running maximum of the Lévy process involved in lookback and barrier payoffs is approximated using discretely monitored maximum. To analytically verify the computational complexity of multilevel method, we also prove some upper bounds on Lp convergence rate of discretely monitored error for a broad class of Lévy processes.
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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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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 matrices which characterize an MJP; this prior can be used in Bayesian models where an MJP is imposed on the data but the number of states of the MJP is unknown in advance. We show that the GEP model we propose has some attractive properties such as conjugacy and simple closed-form predictive distributions. We also introduce the hierarchical version of the GEP model; sharing statistical strength can be considered as the main motivation behind the hierarchical model. We show that our hierarchical model admits efficient inference algorithms. We introduce two inference algorithms: 1) a “basic” particle Markov chain Monte Carlo (PMCMC) algorithm which is an MCMC algorithm with sequences proposed by a sequential Monte Carlo (SMC) algorithm; 2) a modified version of this PMCPC algorithm with an “improved” SMC proposal. Finally, we demonstrate the algorithms on the problems of estimating disease progression in multiple sclerosis and RNA evolutionary modeling. In both domains, we found that our model outperformed the standard rate matrix estimation approach.
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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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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. Pricing the option with early exercise feature is the optimal stopping problem to determine the optimal stopping time to maximize the expected options payoff. Due to the Markovian structure of the underlying process, the optimal stopping problem is related to the free-boundary problem consisting of an integral differential equation and suitable boundary conditions. By the local time-space formula for semi-martingales, the closed form solution for the options value can be derived from the free-boundary problem and we characterize the optimal stopping boundary as the unique solution to a nonlinear integral equation arising from the early exercise premium (EEP) representation. Chapter 2 and Chapter 3 discuss American put options and American call options respectively. When pricing options with early exercise feature under the double exponential jump-diffusion processes, a non-local integral term will be found in the infinitesimal generator of the underlying process. By the local time-space formula for semi-martingales, we show that the value function and the optimal stopping boundary are the unique solution pair to the system of two integral equations. The significant contributions of these two chapters are to prove the uniqueness of the value function and the optimal stopping boundary under less restrictive assumptions compared to previous literatures. In the degenerate case with only one-sided jumps, we find that the results are in line with the geometric Brownian motion models, which extends the analytical tractability of the Black-Scholes analysis to alternative models with jumps. In Chapter 4 and Chapter 5, we examine the British payoff mechanism under one-sided exponential jump-diffusion processes, which is the first analysis of British options for process with jumps. We show that the optimal stopping boundaries of British put options with only negative jumps or British call options with only positive jumps can also be characterized as the unique solution to a nonlinear integral equation arising from the early exercise premium representation. Chapter 6 provides the study of American knock-out put options under negative exponential jump-diffusion processes. The conditional memoryless property of the exponential distribution enables us to obtain an analytical form of the arbitrage-free price for American knock-out put options, which is usually more difficult for many other jump-diffusion models.
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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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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 approximate the density that does not rely on discretising the Levy measure and results in better convergence rates. The second part of the thesis concerns the analysis of schemes for BSDEs driven by Brownian motion and a Poisson random measure. Such equations appear naturally in hedging problems, stochastic control and they provide a natural probabilistic approach to the solution of certain semi linear PIDEs. While the numerical approximation of the continuous case has been studied in the literature, there has been relatively little progress in the study of such equations with a discontinuous driver. We present a weak Monte Carlo scheme in this setting based on Picard iterations. We discuss its convergence and provide a numerical illustration.
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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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Thesis (Ph.D)--Chemical Engineering, Georgia Institute of Technology, 2010.
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 quadratic variation which comes from the jump part of the logarithmic price process. Thus, we demonstrate that if the logarithmic price process is in the class of stochastic volatility plus rare jumps processes then the difference between realized variance and realized bipower variation process estimates the discontinuous component of the quadratic variation. So, quadratic variation of the jump component can be estimated and jump detection can be achieved.
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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, a cura di. Financial modelling with jump processes. Boca Raton, Fla: Chapman & Hall/CRC, 2004.

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

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

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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"

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Gikhman, Iosif Ilyich, e 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 e 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., e 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"

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Sebghati, Mohammad Ali, e 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 e 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, e 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 e 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., e 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 e A. M. Levine. "Non-Markovian Stochastic Jump Processes In Nonlinear Optics". In Intl Conf on Trends in Quantum Electronics, a cura di Ioan Ursu. SPIE, 1989. http://dx.doi.org/10.1117/12.950608.

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8

Theodorou, E. A., e 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 e 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 e 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, ottobre 1987. http://dx.doi.org/10.21236/ada189701.

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2

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

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3

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

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4

Соловйов, В. М., В. В. Соловйова e 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 slightly simulate the dynamics of the asset prices, because it consists o f two components: the Brownian motion component and jump component. In the current work the usage of model parameters estimation procedure is proposed, which is based on the characteristic functions and is applied for the moving window for the purpose of financial-economic system’ s state monitoring.
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5

Platen, E. On a Wide Range Exclusion Process in Random Medium with Local Jump Intensity. Fort Belvoir, VA: Defense Technical Information Center, agosto 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, dicembre 1993. http://dx.doi.org/10.3386/w4596.

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Rezaie, Shogofa, Fedra Vanhuyse, Karin André e Maryna Henrysson. Governing the circular economy: how urban policymakers can accelerate the agenda. Stockholm Environment Institute, settembre 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 droughts (De Sherbinin et al., 2007; Major et al., 2011; Rockström et al., 2021). One of the sustainability pathways to reduce the environmental consequences of the current extract-make-dispose model (or the "linear economy") is a circular economy (CE) model. A CE is defined as "an economic system that is based on business models which replace the 'end-of-life' concept with reducing, alternatively reusing, recycling and recovering materials in production/distribution and consumption processes" (Kirchherr et al., 2017, p. 224). By redesigning production processes and thereby extending the lifespan of goods and materials, researchers suggest that CE approaches reduce waste and increase employment and resource security while sustaining business competitiveness (Korhonen et al., 2018; Niskanen et al., 2020; Stahel, 2012; Winans et al., 2017). Organizations such as the Ellen MacArthur Foundation and Circle Economy help steer businesses toward CE strategies. The CE is also a political priority in countries and municipalities globally. For instance, the CE Action Plan, launched by the European Commission in 2015 and reconfirmed in 2020, is a central pillar of the European Green Deal (European Commission, 2015, 2020). Additionally, more governments are implementing national CE strategies in China (Ellen MacArthur Foundation, 2018), Colombia (Government of the Republic of Colombia, 2019), Finland (Sitra, 2016), Sweden (Government Offices of Sweden, 2020) and the US (Metabolic, 2018, 2019), to name a few. Meanwhile, more cities worldwide are adopting CE models to achieve more resource-efficient urban management systems, thereby advancing their environmental ambitions (Petit-Boix & Leipold, 2018; Turcu & Gillie, 2020; Vanhuyse, Haddaway, et al., 2021). Cities with CE ambitions include, Amsterdam, Barcelona, Paris, Toronto, Peterborough (England) and Umeå (Sweden) (OECD, 2020a). In Europe, over 60 cities signed the European Circular Cities Declaration (2020) to harmonize the transition towards a CE in the region. In this policy brief, we provide insights into common challenges local governments face in implementing their CE plans and suggest recommendations for overcoming these. It aims to answer the question: How can the CE agenda be governed in cities? It is based on the results of the Urban Circularity Assessment Framework (UCAF) project, building on findings from 25 interviews, focus group discussions and workshops held with different stakeholder groups in Umeå, as well as research on Stockholm's urban circularity potential, including findings from 11 expert interviews (Rezaie, 2021). Our findings were complemented by the Circular Economy Lab project (Rezaie et al., 2022) and experiences from working with municipal governments in Sweden, Belgium, France and the UK, on CE and environmental and social sustainability.
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Petit, Vincent. Road to a rapid transition to sustainable energy security in Europe. Schneider Electric Sustainability Research Institute, ottobre 2022. http://dx.doi.org/10.58284/se.sri.bcap9655.

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Abstract (sommario):
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 the Joint Research Center of the European Commission, the “Integrated Database of the European Energy Sector”, which for the first time mapped actual energy uses for each country within the European Union, across 17 sectors of activity, with data granularity at the level of each process step (or end-use) of each of these sectors. Our approach here has been to systematically review these process steps (or end-uses) and qualify the extent to which they could be electrified, effectively removing the demand for fossil fuels as a result. We have focused only on those process steps where technology was already widely available and for which we evaluated the switch to be relatively easy (or attractive). In other words, we estimated the impact of rapid electrification of “easy to abate” activities. The conclusion of this evaluation is that the share of electricity demand in the final energy mix could jump from around 20% today to 50%, which would drive a reduction in emissions at end-use of around 1,300 MtCO2 /y, as well as a drop in natural gas and oil supply of around 50%. As a result of such transformation, electricity demand would nearly double, with the bulk of that growth materializing in the building sector. Short-term, the challenge of addressing climate targets while providing for energy security is thus intimately connected to buildings. While such transition would certainly require major infrastructure upgrades, which may prove a roadblock to rapid deployment, we find that the combination of energy efficiency measures (notably digital) and distributed generation penetration (rooftop solar) could significantly tame the issue, and hence help accelerate the move away from fossil fuels, with energy spend savings as high as 80% across some building types; a major driver of change. Beyond this, further potential exists for electrification. Other measures on the demand-side will include deeper renovations of the industrial stock (notably in the automotive, machinery, paper, and petrochemical industries for which our current assessment may be underestimated) and further electrification of mobility (trucks). The transition of the power system away from coal (and ultimately natural gas) will then also play a key role, followed ultimately by feedstocks substitution in industry. Some of these transitions are already on the way and will likely bring further improvements. The key message, however, is that a significant opportunity revolves around buildings to both quickly decarbonize and reduce energy dependencies in Europe. Rapid transformation of the energy system may be more feasible than we think. We notably estimate that, by 2030, an ambitious and focused effort could help displace 15% to 25% of natural gas and oil supply and reduce emissions by around 500 MtCO2 /y (note that these savings would come on top of additional measures regarding energy efficiency and flexibility, which are not the object of this study). For this to happen, approximately 100 million buildings will need renovating, and a similar number of electric vehicles would need to hit the road.
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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., dicembre 2019. http://dx.doi.org/10.14526/2070-4798-2019-14-4-67-79.

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