Jump Processes
Fast MCMC Sampling for Markov Jump Processes and Extensions
... Markov jump processes (or continuous-time Markov chains) are a simple and important class of continuous-time dynamical ...virtual jump times given the current path, and then sampling a new path given ...
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Comparing hitting time behaviour of Markov jump processes and their diffusion approximations
... Markov jump processes can provide accurate models in many applica- tions, notably chemical and biochemical kinetics, and population dynam- ...the jump and diffusion models ...Markov jump and ...
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Weak Poincaré inequalities and hitting times for jump processes
... for jump processes via decomposition ...diffusion processes on Riemannian manifolds with boundary by using a Lyapunov ...for jump processes, which can be used to study the convergence ...
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Berman-Konsowa principle for reversible Markov jump processes
... Both the Dirichlet principle and the Thomson principle have been key tools in electric network theory for many years (Doyle and Snell [12]). More recently, Berman and Konsowa [2] proved two variational formulas for ...
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Dependent jump processes with coupled Lévy measures
... positive jump processes through a series ...the jump times of a standard Poisson ...constituent processes is given by a probabilistic copula for the inter-arrival times of the various standard ...
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Option pricing with discrete time jump processes
... the jump activity im- plied by the returns on various assets should not be ignored: the returns are char- acterized by tails whose thickness cannot be accounted for through any conditionally Gaussian model, and ...
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Solvability of Kolmogorov Fokker Planck equations for vector jump processes and occupation time on hypersurfaces
... Abstract. We study occupation time on hypersurface for Markov n-dimensional jump processes. Solvability and uniqueness of integro-differential Kolmogorov-Fokker-Planck with generalized functions in ...
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Option pricing with discrete time jump processes
... the jump activity im- plied by the returns on various assets should not be ignored: the returns are char- acterized by tails whose thickness cannot be accounted for through any conditionally Gaussian model, and ...
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Efficient sampling of conditioned Markov jump processes
... Markov jump processes (MJPs) can be used to model a wide range of discrete-valued, continuous- time processes. Our focus here is on the MJP representation of a reaction network, which has been ...
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Modeling Returns of Stock Indexes through Fractional Brownian Motion Combined with Jump Processes and Modulated by Markov Chains
... The sample period of our analysis begins on January 1994 and ends on December 2017. The purpose of this study is to capture in our proposal the dynamics of stock market indexes in and out crises periods. The most ...
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Game Theoretic Decentralized Feedback Controls in Markov Jump Processes
... The mean-field game theory was developed in the work of M.Huang, R. Malham´ e and P. Caines [13, 14] and independently in that of J. M. Lasry and P.L. Li- ons [15,16], where the new standard terminology of Mean Field ...
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Pricing vulnerable options with variable default boundary under jump diffusion processes
... Let (Ω, F, Q ) be a complete probability space and r be the instantaneous riskless rate. Jump processes are given to describe the discontinuous changes of prices. We will give the following assumptions ...
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Pure-jump semimartingales
... We start by extending the standard definition of integral with respect to a random measure and derive some basic properties in Subsection 3.1. Then, in Subsection 3.2, we prove some associativity properties of this ...
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On the Stability of Stochastic Jump Kinetics
... In this section we start with the physicist’s traditional viewpoint of pure jump processes and write down the go- verning master equations. These are evolution equations for the probability densities of ...
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Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
... pure jump Markov processes can be represented by means of an appropriate Backward Stochastic Differential Equation (BSDE) that we introduce and for which we prove an existence and uniqueness ...pure ...
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Professional Judgement and Decision Making in Sport Coaching: To Jump Or Not To Jump
... Interestingly, when pressured by the manipulations and placed in a position of uncertainty by suggesting that their initial diagnoses/plans were not working or even incorrect, participants spontaneously assumed (i.e. ...
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High Jump Technique and Training
... a jump, always provide feedback if for no other reason than to reassure them that you saw their jump (this will also serve to lessen the athlete’s “make sure coach is watching before jumping” ...
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Quantum jump metrology
... Here we provide novel insight into quantum metrology with generalized sequential measurements by drawing analo- gies to hidden quantum Markov models [47–51]. This anal- ogy suggests that there could be a wide range of ...
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BSDEs with Default Jump
... default jump and generalized driver which involves a finite variational process ...a jump at the default ...default jump, we need an appropriate assumption on the driver g to ensure that the ...
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A correction equation for jump height measured using the just jump system
... Figure 1: Relationship between vertical jump height values derived from the Just Jump system and the force platform for pooled data taken from the six n = 108 jump trials where CJH = cri[r] ...
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