Keywords: پرش فرآیندهای; primary; 60Hxx; secondary; 60J75; 60G55; Piecewise deterministic Markov processes; Invariant measure; Integration by parts based on jump times; Jump processes;
مقالات ISI پرش فرآیندهای (ترجمه نشده)
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Keywords: پرش فرآیندهای; G01; G13; Multivariate modeling; Contagion; Derivatives pricing; Jump processes; Hedging;
Keywords: پرش فرآیندهای; 39B72; 37H10Stability in distribution; Neutral stochastic functional differential equations; Wiener processes; Jump processes
Keywords: پرش فرآیندهای; C61; G11; G12; G17; Capital guarantee products; Constant proportion portfolio insurance; Option based portfolio insurance; Pension funds; Jump processes; Time-changed Brownian motion; Dynamic replication in discrete time; Utility theory; Certainty equival
Keywords: پرش فرآیندهای; Catastrophe events; Jump processes; Jump-diffusion; Insurance products; Derivative assets; G13;
Discretisation of FBSDEs driven by càdlàg martingales
Keywords: پرش فرآیندهای; Jump processes; Time-discretisation; Semimartingale; FBSDE; Galtchouck–Kunita–Watanabe decomposition
Response of dynamic systems to renewal impulse processes: Generating equation for moments based on the integro-differential Chapman–Kolmogorov equations
Keywords: پرش فرآیندهای; Markov processes; Random vibrations; Random impulses; Renewal processes; Jump processes; Probability density
Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
Keywords: پرش فرآیندهای; 93E20; 60J60; 47N10; Backward stochastic differential equations; Reflected backward stochastic equations; g-conditional expectation; Jump processes; Optimal stopping; Dynamic risk measures; Game problems;
Optimal investment and consumption when regime transitions cause price shocks
Keywords: پرش فرآیندهای; G01; G11; IM01; IE12; IE13; IE53; Event risk; Regime switching; Defaultable bonds; Jump processes; Optimal investment and consumption; Stochastic control;
Integro-differential Chapman–Kolmogorov equation for continuous-jump Markov processes and its use in problems of multi-component renewal impulse process excitations
Keywords: پرش فرآیندهای; Markov processes; Random vibrations; Random impulses; Renewal processes; Jump processes; Probability density
Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
Keywords: پرش فرآیندهای; C51; C52; G12; Continuous-time stochastic volatility models; Jump processes; Method-of-moments estimation; Realized multipower variation;
Occupancy numbers for dynamic heterogeneous populations: Estimate of particles lifetimes
Keywords: پرش فرآیندهای; 60G09; 62N05; 60H30; 60G35; 60J75; Heterogeneous populations; Exchangeability; Stochastic filtering; Jump processes;
Stratonovich covariant differential equation with jumps
Keywords: پرش فرآیندهای; primary; 58JG5; 60H10; 60H05; 60J75; secondary; 55R1U; 55R25Stochastic differential equations in manifolds; Jump processes; Stratonovich calculus; Connections; Covariant derivative; Tangent bundle
Existence of densities for jumping stochastic differential equations
Keywords: پرش فرآیندهای; 60H10; 60J75Stochastic differential equations; Jump processes; Absolute continuity
Fluid queues to solve jump processes
Keywords: پرش فرآیندهای; Fluid queues; Jump processes; Matrix-analytic methods; Algorithmic methods; Priority buffer system;
An option pricing framework for valuation of football players
Keywords: پرش فرآیندهای; Real options; Investment analysis; Geometric Brownian motion; Jump processes; Ito's lemma;