搜索结果: 1-13 共查到“管理学 jumps”相关记录13条 . 查询时间(0.109 秒)
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
asynchronous observations co-jumps statistics of semimartingales quadratic covariation
2013/6/14
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results b...
A New Class of Backward Stochastic Partial Differential Equations with Jumps and Applications
Backward Stochastic Partial Differential Equations with Jumps High-Order Partial Differential Operator Vector Partial Differential Equation Existence and Uniqueness Random Environment
2011/6/21
We formulate a new class of stochastic partial differential equations (SPDEs), named
high-order vector backward SPDEs (B-SPDEs) with jumps, which allow the high-order
integral-partial differential o...
A Binary Control Chart to Detect Small Jumps
Binary Control Chart Small Jumps independent binary
2010/3/9
The classic N p chart gives a signal if the number of successes in a sequence of inde-
pendent binary variables exceeds a control limit. Motivated by engineering applications
in industrial image pro...
Jumps of stochastic processes with values in a topological group
Jumps of stochastic processes values in a topological group
2009/9/24
Jumps of stochastic processes with values in a topological group。
Tail probabilities for a risk process with subexponential jumps in a regenerative and diffusion environment
Ruin probability Cox process diffusion process exponential change of measure
2009/9/21
In this paper we fmd a nonexponential Lundberg approximation
of the ruin probability in a Cox model, in which a governing
process has a regenerative structure and claims are light-tailed or
have an...
The lower tail problem for homogeneous functionals of stable processes with no negative jumps
lower tail problem homogeneous functionals stable processes negative jumps
2009/6/12
The lower tail problem for homogeneous functionals of stable processes with no negative jumps.
Stochastic differential equations with jumps
stochastic differential equations jumps martingale problems pathwise uniqueness Harnack inequality
2009/5/18
This paper is a survey of uniqueness results for stochastic differential equations with jumps and regularity results for the corresponding harmonic functions.
Moderate Deviations for Martingales with Bounded Jumps
Moderate deviations martingales bounded martingale difference
2009/5/11
We prove that the Moderate Deviation Principle (MDP) holds for the trajectory of a locally square integrable martingale with bounded jumps as soon as its quadratic covariation, properly scaled, conver...
The of the Hitting Times to Points by a Stable Levy Process with No Negative Jumps
Law Stable Levy Process density function
2009/3/23
Let $X=(X_t)_{t ge 0}$ be a stable L'evy process of index $alpha in (1,2)$ with the L'evy measure $nu(dx) = (c/x^{1+alpha}):! I_{(0,infty)}(x), dx$ for $c>0$, let $x>0$ be given and fixed, and let $ta...
On the rate of growth of Levy processes with no positive jumps conditioned to stay positive
asymptotic behaviour Levy process related process
2009/3/20
In this note, we study the asymptotic behaviour of Lévy processes with no positive jumps conditioned to stay positive and some related processes. In particular, we establish an integral test for the l...
Density Estimation of Levy Measures for Discretely Observed Diffusion Processes with Jumps
consistency discrete observations jump-diffusion kernel density estimation Levy density MSE optimal rate
2009/3/6
We study a nonparametric estimation of Lévy measures for multidimensional jump-diffusion models from some discrete observations. We suppose that the jump term is driven by a Lévy process with finite L...
Testing for jumps in a discretely observed process
Jumps test discrete sampling high-frequency
2010/3/18
We propose a new test to determine whether jumps are present in
asset returns or other discretely sampled processes. As the sampling
interval tends to 0, our test statistic converges to 1 if there a...
Diffusion covariation and co-jumps in bidimensional asset price processes with stochastic volatility and infinite activity Levy jumps
co-jumps diffusion correlation coefficient stable Levy jumps threshold estimator
2010/4/29
In this paper we consider two processes driven by diffusions and jumps. The jump components
are L´evy processes and they can both have finite activity and infinite activity. Given discrete obse...