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Modeling high-frequency financial data by pure jump processes
Diffusion pure jump process semi-martingales high-frequency data hypothesis testing
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2012/6/21
It is generally accepted that the asset price processes contain jumps. In fact, pure jump models have been widely used to model asset prices and/or stochastic volatilities. The question is: is there a...
Path Results for Symmetric Jump Processes
Jump Processes symmetric processes support theorem occupation times Dirichlet forms
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2012/3/1
We consider a class of jump processes in euclidean space which are associated to a certain non-local symmetric Dirichlet form. We prove a lower bound on the occupation times of sets, and that a suppor...
Attempt-time Monte Carlo: an alternative for simulation of stochastic jump processes with time-dependent transition rates
Attempt-time Monte Carlo simulation of stochastic jump processes time-dependent transition rates
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2010/11/24
cWe present a new method for simulating Markovian jump processes with time-dependent tran-
sitions rates, which avoids the transformation of random numbers by inverting time integrals over the rates....
Stationary distributions for jump processes with inert drift
Stationary distributions jump processes inert drift
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2010/12/6
We analyze jump processes Z with “inert drift” determined by a “memory”process S. The state space of (Z, S) is the Cartesian product of the unit circle and the real line. We prove that the stationary ...
Jump processes and nonlinear fractional heat equations on fractals
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2007/7/28
专著信息
书名
Jump processes and nonlinear fractional heat equations on fractals
语种
英文
撰写或编译
作者
Jiaxin Hu,Martina Zaehle
第一作者单位
出版社
Math. Nachr. 279 (2006), 150-163
出版地
出版日期
2006年
月
日
标准书号
介质类型
页数
字数
开本
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