相关论文: Jump Diffusion and {\alpha}-Stable Techniques for …

This work focuses on stability analysis of numerical solutions to jump diffusions and jump diffusions with Markovian switching. Due to the use of Poisson processes, using asymptotic expansions as in the usual approach of treating diffusion…

The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…

In this paper we consider the numerical solutions for a class of jump diffusions with Markovian switching. After briefly reviewing necessary notions, a new jump-adapted efficient algorithm based on the Euler scheme is constructed for…

In this paper we consider a jump-diffusion dynamic whose parameters are driven by a continuous time and stationary Markov Chain on a finite state space as a model for the underlying of European contingent claims. For this class of processes…

Diffusive approximations of Markov jump processes often fail to accurately capture large fluctuations. This is confounding, as the rare events triggered by these large fluctuations, such as the failure of electronic memories, are often the…

Biochemical reactions can happen on different time scales and also the abundance of species in these reactions can be very different from each other. Classical approaches, such as deterministic or stochastic approach, fail to account for or…

The aim of this paper is to examine the time scaling of the semivariance when returns are modeled by various types of jump-diffusion processes, including stochastic volatility models with jumps in returns and in volatility. In particular,…

The finite state semi-Markov process is a generalization over the Markov chain in which the sojourn time distribution is any general distribution. In this article we provide a sufficient stochastic maximum principle for the optimal control…

Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…

Generating synthetic financial time series that preserve the statistical properties of real market data is essential for stress testing, risk model validation, and scenario design. Existing approaches struggle to simultaneously reproduce…

This paper introduces a jump-diffusion pricing model specifically designed for algorithmic trading and high-frequency trading (HFT). The model incorporates independent jump and diffusion processes, providing a more precise representation of…

We present a detailed analysis and implementation of a splitting strategy to identify simultaneously the local-volatility surface and the jump-size distribution from quoted European prices. The underlying model consists of a jump-diffusion…

This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary diffusion factor process. The…

This paper compares the optimal investment problems based on monotone mean-variance (MMV) and mean-variance (MV) preferences in the L\'{e}vy market with an untradable stochastic factor. It is an open question proposed by Trybu{\l}a and…

We develop the first exact Bayesian methodology for the problem of inference in discretely observed regime switching diffusions. Switching diffusion models extend ordinary diffusions by allowing for jumps in instantaneous drift and…

In the presence of quantum measurements with direct photon detection the evolution of open quantum systems is usually described by stochastic master equations with jumps. Heuristically, from these equations one can obtain diffusion models…

This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The regimes are assumed to be the results of an observed pure…

We address a class of Markov jump linear systems that are characterized by the underlying Markov process being time-inhomogeneous with a priori unknown transition probabilities. Necessary and sufficient conditions for uniform stochastic…

In this paper, we consider the stability analysis of large-scale distributed networked control systems with random communication delays between linearly interconnected subsystems. The stability analysis is performed in the Markov jump…

In this paper we focus on the pathwise stability of mild solutions for a class of stochastic partial differential equations which are driven by switching-diffusion processes with jumps. In comparison to the existing literature, we show…