相关论文: The disorder problem for compound Poisson processe…

We present a comprehensive discretization scheme for linear and nonlinear stochastic differential equations (SDEs) driven by either Brownian motions or $\alpha$-stable processes. Our approach utilizes compound Poisson particle…

We study the effect of quenched spatial disorder on the current-carrying steady states of the totally asymmetric simple exclusion process with spatially disordered jump rates. The exact analytical expressions for the steady-state weights,…

We study monotone and convex stochastic orders for processes with independent increments. Our contributions are twofold: First, we relate stochastic orders of the Poisson component to orders of their (generalized) L\'evy measures. The…

We show that the optimal decision policy for several types of Bayesian sequential detection problems has a threshold switching curve structure on the space of posterior distributions. This is established by using lattice programming and…

Suppose that a compound Poisson process is observed discretely in time and assume that its jump distribution is supported on the set of natural numbers. In this paper we propose a non-parametric Bayesian approach to estimate the intensity…

Resetting a stochastic process is an important problem describing the evolution of physical, biological and other systems which are continually returned to their certain fixed point. We consider the motion of a subdiffusive particle with a…

Stochastic modelling of fatigue (and other material's deterioration), as well as of cumulative damage in risk theory, are often based on compound sums of independent random variables, where the number of addends is represented by an…

We consider the problem of detecting jumps in an otherwise smoothly evolving trend whilst the covariance and higher-order structures of the system can experience both smooth and abrupt changes over time. The number of jump points is allowed…

We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the…

In this paper we give solution to the quickest drift change detection problem for a L\'evy process consisting of both a continuous Gaussian part and a jump component. We consider here Bayesian framework with an exponential a priori…

In mathematical finance, Levy processes are widely used for their ability to model both continuous variation and abrupt, discontinuous jumps. These jumps are practically relevant, so reliable inference on the feature that controls jump…

We describe a variational approach to solving optimal stopping problems for diffusion processes, as an alternative to the traditional approach based on the solution of the free-boundary problem. We study smooth pasting conditions from a…

The problem of European-style option pricing in time-changed L\'{e}vy models in the presence of compound Poisson jumps is considered. These jumps relate to sudden large drops in stock prices induced by political or economical hits. As the…

It is well known that, under broad assumptions, the time-scaled point process of exceedances of a high level by a stationary sequence converges to a compound Poisson process as the level grows. The purpose of this note is to demonstrate…

We consider the problem of finding a stopping time that minimises the $L^1$-distance to $\theta$, the time at which a L\'evy process attains its ultimate supremum. This problem was studied in [12] for a Brownian motion with drift and a…

Since the work of Page in the 1950s, the problem of detecting an abrupt change in the distribution of stochastic processes has received a great deal of attention. In particular, a deep connection has been established between Lorden's…

In this paper, we consider parameter estimation for stochastic differential equations driven by Wiener processes and compound Poisson processes. We assume unknown parameters corresponding to coefficients of the drift term, diffusion term,…

The competition between strength and correlation of coupling terms in a Hamiltonian defines numerous phenomenological models exhibiting spectral properties interpolating between those of Poisson (integrable) and Wigner-Dyson (chaotic)…

In this paper exponential stability of nonlinear fractional order stochastic system with Poisson jumps is studied in finite dimensional space. Existence and uniqueness of solution, stability and exponential stability results are established…

In this paper, we consider multistopping problems for finite discrete time sequences $X_1,...,X_n$. $m$-stops are allowed and the aim is to maximize the expected value of the best of these $m$ stops. The random variables are neither assumed…