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pro vyhledávání: '"Jump-diffusion process"'
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We propose a new jump-diffusion process, the Heston-Queue-Hawkes (HQH) model, combining the well-known Heston model and the recently introduced Queue-Hawkes (Q-Hawkes) jump process. Like the Hawkes process, the HQH model can capture the effects of se
Externí odkaz:
http://arxiv.org/abs/2205.13321
Autor:
Tamura, Yoshinobu1 (AUTHOR) tamuray@tcu.ac.jp, Sone, Hironobu1 (AUTHOR) g1881827@tcu.ac.jp, Yamada, Shigeru2 (AUTHOR) yamada@tottori-u.ac.jp
Publikováno v:
International Journal of Reliability, Quality & Safety Engineering. Dec2020, Vol. 27 Issue 6, pN.PAG-N.PAG. 18p.
Autor:
Caibin Zhang1, Zhibin Liang2 liangzhibin111@hotmail.com
Publikováno v:
Stochastic Models. 2023, Vol. 39 Issue 4, p741-771. 31p.
Autor:
Rozanova, Olga, Manapov, Ilnar
We consider a couple of integrodifferential PDEs arising from a stochastic Markovian control problem subjected to initial-terminal conditions. These equations correspond to the MFG system for a controlled jump-diffusion process. We prove that for a s
Externí odkaz:
http://arxiv.org/abs/2108.00244
Autor:
Guan, Chonghu1 (AUTHOR) gchonghu@163.com
Publikováno v:
Applied Mathematics & Optimization. Aug2023, Vol. 88 Issue 1, p1-36. 36p.
Autor:
Xie, Bin, Li, Weiping
We detect the parameter sensitivities of bond pricing which is driven by a Brownian motion and a compound Poisson process as the discontinuous case in credit risk research. The strict mathematical deductions are given theoretically due to the explici
Externí odkaz:
http://arxiv.org/abs/2111.13334
Autor:
Abundo, Mario
We report some additional examples of explicit solutions to an inverse first-passage place problem for one-dimensional diffusions with jumps, introduced in a previous paper. If $X(t)$ is a one-dimensional diffusion with jumps, starting from a random
Externí odkaz:
http://arxiv.org/abs/2104.06385
Autor:
Peng, Ling, Kloeden, Peter E.
Publikováno v:
In Expert Systems With Applications 15 September 2022 202
Publikováno v:
In Journal of Theoretical Biology 7 January 2022 532