相关论文: Convexity preserving jump-diffusion models for opt…

We consider random walks in a random environment which are generalized versions of well-known effective models for Mott variable-range hopping. We study the homogenized diffusion constant of the random walk in the one-dimensional case. We…

In this paper, we derive two bound-preserving and mass-conserving schemes based on the fractional-step method and high-order compact (HOC) finite difference method for nonlinear convection-dominated diffusion equations. We split the…

The diffusion of monovacancies in gold has been studied by computer simulation. Multiple jumps have been found to play a central role in the atomic dynamics at high temperature, and have been shown to be responsible for an upward curvature…

The close relation between the processes of paraxial diffraction and coherent diffusion is reflected in the similarity between their shape-preserving solutions, notably the Gaussian modes. Differences between these solutions enter only for…

In this paper, we study the problem of optimizing the stability of positive semi-Markov jump linear systems. We specifically consider the problem of tuning the coefficients of the system matrices for maximizing the exponential decay rate of…

In this paper we consider one-dimensional diffusions with constant coefficients in a finite interval with jump boundary and a certain deterministic jump distribution. We use coupling methods in order to identify the spectral gap in the case…

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,…

In this paper, we introduce a data-driven modeling approach for dynamics problems with latent variables. The state-space of the proposed model includes artificial latent variables, in addition to observed variables that can be fitted to a…

Individuals use models to guide decisions, but many models are wrong. This paper studies which misspecified models are likely to persist when individuals also entertain alternative models. Consider an agent who uses her model to learn the…

The aim of the study is to compare the standard Maxwell-Stefan model of diffusion with the higher-order one recently derived. This higher-order model takes into account the influence of the complete pressure tensor. A numerical scheme is…

In this note we investigate the consistency under inversion of jump diffusion processes in the Foreign Exchange (FX) market. In other terms, if the EUR/USD FX rate follows a given type of dynamics, under which conditions will USD/EUR follow…

We consider a stochastic process driven by a diffusion and jumps. We devise a technique, which is based on a discrete record of observations, for identifying the times when jumps larger than a suitably defined threshold occurred. The…

We establish a nondominated version of the optional decomposition theorem in a setting that includes jump processes with nonvanishing diffusion as well as general continuous processes. This result is used to derive a robust superhedging…

We study the stability of non-conservative deterministic cross diffusion models and prove that they are approximated by stochastic population models when the populations become locally large. In this model, the individuals of two species…

Literature is full of inference techniques developed to estimate the parameters of stochastic dynamical systems driven by the well-known Brownian noise. Such diffusion models are often inappropriate models to properly describe the dynamics…

After many researchers observed fruitfulness from the recent diffusion probabilistic model, its effectiveness in image generation is actively studied these days. In this paper, our objective is to evaluate the potential of diffusion…

We investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the underlying asset is modelled by the Euler scheme of a…

We perform a detailed comparison between a Markov Switching Jump Diffusion Model and a Markov Switching {\alpha}-Stable Distribution Model with respect to the analysis of non-stationary data. We show that the jump diffusion model is…

We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a…

Pattern formation mechanisms of a reaction-diffusion-advection system, with one diffusivity, differential advection, and (Robin) boundary conditions of Danckwerts type, are being studied. Pattern selection requires mapping the domains of…