Related papers: Testing for jumps in a discretely observed process
The use of stochastic models, in effect piecewise deterministic Markov processes (PDMP), has become increasingly popular especially for the modeling of chemical reactions and cell biophysics. Yet, exact simulation methods, for the…
Markov jump processes are continuous-time stochastic processes which describe dynamical systems evolving in discrete state spaces. These processes find wide application in the natural sciences and machine learning, but their inference is…
In this paper we present the asymptotic analysis of the realised quadratic variation for multivariate symmetric $\beta$-stable L\'evy processes, $\beta \in (0,2)$, and certain pure jump semimartingales. The main focus is on derivation of…
In this paper the running average of a subordinator with a tempered stable distribution is considered. We investigate a family of previously unexplored infinite-activity subordinators induced by the probability distribution of the running…
Given a positive random variable $X$, $X\ge0$ a.s., a null hypothesis $H_0:E(X)\le\mu$ and a random sample of infinite size of $X$, we construct test supermartingales for $H_0$, i.e. positive processes that are supermartingale if the null…
We study a one-dimensional Markov modulated random walk with jumps. It is assumed that amplitudes of jumps as well as a chosen velocity regime are random and depend on a time spent by the process at a previous state of the underlying Markov…
Observing prices of European put and call options, we calibrate exponential L\'evy models nonparametrically. We discuss the efficient implementation of the spectral estimation procedures for L\'evy models of finite jump activity as well as…
Using key tools such as It\^o formula for general semi-martingales, moments estimates for L\'{e}vy-type stochastic integrals and properties of regular varying functions we find conditions under which solutions of stochastic differential…
We compute and discuss the Esscher martingale transform for exponential processes, the Esscher martingale transform for linear processes, the minimal martingale measure, the class of structure preserving martingale measures, and the minimum…
We study the problem of the efficient estimation of the jumps for stochastic processes. We assume that the stochastic jump process $(X_t)_{t\in[0,1]}$ is observed discretely, with a sampling step of size $1/n$. In the spirit of Hajek's…
We study the properties of nonlinear Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and a martingale measure associated with a default jump with intensity process $(\lambda_t)$. We give a priori estimates for…
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state space representation is used to link observed returns, plus nonparametric measures of…
We consider the stochastic ranking process with space-time dependent unbounded jump rates for the particles. We prove that the joint empirical distribution of jump rate and scaled position converges almost surely to a deterministic…
We study the estimation of leverage effect and volatility of volatility by using high-frequency data with the presence of jumps. We first construct spot volatility estimator by using the empirical characteristic function of the…
This paper is focused on the moderate-deviations analysis of binary hypothesis testing. The analysis relies on a concentration inequality for discrete-parameter martingales with bounded jumps, where this inequality forms a refinement to the…
This article proposes a novel test for the martingale difference hypothesis based on the martingale difference divergence function, a recently developed dependence measure suitable for measuring the degree of conditional mean dependence of…
We investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with jumps. Under reasonable assumptions, we establish the convergence of solutions to the…
In this paper we introduce non-decreasing jump processes with independent and time non-homogeneous increments. Although they are not L\'evy processes, they somehow generalize subordinators in the sense that their Laplace exponents are…
We consider the class of Piecewise Deterministic Markov Processes (PDMP), whose state space is $\R\_{+}^{*}$, that possess an increasing deterministic motion and that shrink deterministically when they jump. Well known examples for this…
We prove that typical (in the model-free finance setting) price paths with jumps may be uniformly approximated with accuracy $c>0$ by paths whose total variation is of order $1/c.$ A more precise result is obtained for semimartingales with…