ProcessesMarkov Jump ProcessesStochastic Equation for Jump ProcessesExplosions in Markov Jump ProcessesExercises#Definitions#Pure Jump Process Filtration#It's Formula for Processes of Finite Variation#Counting Processes#Markov Jump Processes#Stochastic Equation for Jump Processes#Explosions in Markov Jump ...
Self-decomposable distributions occur as limit law an Ornstein-Uhlenbeck type process associated with a background driving L\\{e}vy process. Finally as an application, asset returns are representing by a normal inverse Gaussian process. Then to test applicability of this representation, we use the...
关键词: Markov decision processes pure jump process Hamilton–Jacobi–Bellman equation risk sensitive control small cost stationary Markov control 93E20 60J75 DOI: 10.1080/17442508.2018.1521413 年份: 2019 收藏 引用 批量引用 报错 分享 全部来源 求助全文 全文购买 Taylor & Francis 掌桥科研 dx.doi.org...
Markov Pure Jump的一般处理方法 核心思想就是先抽象一个实际问题。找到一些系统可能有的状态作为state space。 然后判断Markov性质。如果有的话,先找随机变量变化时间的分布,然后再找变化概率的分布。从而构造了这个Markov Process的抽象模型。 然后从embedded chain来看是否有irreducible closed set。之后看emedded chain...
That is, will the pure jump process fit the high frequency data better than the classical jump-diffusion process? Now we formulate the above problem in the form of a statistical test. For ease of exposition, let X′ be a positive process (price process, exchange rate, or interest rate, ...
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We present simple new examples of pure-jump strict local martingales. The examples are constructed as exponentials of self-exciting affine Markov processes. We characterize the strict local martingale property of these processes by an integral criterion and by non-uniqueness of an associated ordinary ...
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