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pro vyhledávání: '"Long, Shukun"'
Autor:
Larsson, Martin, Long, Shukun
Markovian projections arise in problems where we aim to mimic the one-dimensional marginal laws of an It\^o semimartingale by using another It\^o process with simpler dynamics. In applications, Markovian projections are useful in calibrating jump-dif
Externí odkaz:
http://arxiv.org/abs/2412.04589
Autor:
Larsson, Martin, Long, Shukun
Given a general It\^o semimartingale, its Markovian projection is an It\^o process, with Markovian differential characteristics, that matches the one-dimensional marginal laws of the original process. We construct Markovian projections for It\^o semi
Externí odkaz:
http://arxiv.org/abs/2403.15980