„Jump diffusion“

Suchergebnisse

382 Treffer

• Stochastic Maximum Principle for Forward-Backward Regime Switching Jump Diffusion Systems and Applications to Finance
  Lv, Siyu ; Wu, Zhen
• Statistical arbitrage in jump-diffusion models with compound Poisson processes
  Akyildirim, Erdinc ; Fabozzi, Frank J. ; Goncu, Ahmet ; Sensoy, Ahmet
• New Strategies in Economics and Applications – A Stochastic Process Approach
  Al-Eideh, Basel M. 2021 LAP LAMBERT Academic Publishing
• Omega Model for a Jump-Diffusion Process with a Two-Step Premium Rate and a Threshold Dividend Strategy
  Gao, Zhongqin ; He, Jingmin ; Zhao, Zhifeng ; Wang, Bingbing
• A Simple and Precise Method for Pricing Convertible Bond with Credit Risk
  Xiao, Tim 2019 ZBW – Leibniz Information Centre for Economics
• Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds
  Xiao, Tim 2019 ZBW – Leibniz Information Centre for Economics
• Sufficient Conditions for Terminal Invariance of Stochastic Jump Diffusion Systems
  Khrustalev, M. M. ; Tsarkov, K. A.
• H 2/H ∞ Control for Stochastic Jump-Diffusion Systems with Markovian Switching
  Wang, Meijiao ; Meng, Qingxin ; Shen, Yang
• Nonzero-Sum Stochastic Differential Reinsurance Games with Jump–Diffusion Processes
  Medhin, Negash ; Xu, Chuan
• Ill-posedness of parameter estimation in jump diffusion processes
  Düvelmeyer, Dana ; Hofmann, Bernd 2004 Universitätsbibliothek Chemnitz
• Terminal Invariance of Jump Diffusions
  Khrustalev, M. M. ; Tsarkov, K. A.
• Distributions of Functionals of Switching Diffusions with Jumps
  Borodin, A. N.
• Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
  Xie, Ying ; Zhang, Chengjian
• Some Explicit Results on First Exit Times for a Jump Diffusion Process Involving Semimartingale Local Time
  Song, Shiyu
• Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
  Amorino, Chiara ; Gloter, Arnaud
• Sufficient Epsilon-Optimality Conditions for Jump–Diffusion Systems
  Rybakov, K. A.
• Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market
  Savku, E. ; Weber, G.-W
• Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models
  Nkeki, Charles I. ; Modugu, Kennedy P.
• Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
  Cai, Jingwei ; Zhu, Quanxin ; Chen, Ping
• Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
  Dion, Charlotte ; Lemler, Sarah