Pure-jump semimartingales

被引：0

作者：

Černý, Aleš ^{[1
]}

Ruf, Johannes ^{[2
]}

机构：

[1] Business School (formerly Cass), City, University of London

[2] Department of Mathematics, London School of Economics and Political Science

来源：

arXiv | 2019年

关键词：

Compendex;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

Calculations - Continuous time systems - Markov processes - Stochastic systems

引用

共 50 条

[41] Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models
Lopez, Oscar
Serrano, Rafael
STOCHASTIC MODELS, 2015, 31 (02) : 261 - 291
[42] The Normal-Generalised Gamma-Pareto Process: A Novel Pure-Jump Lévy Process with Flexible Tail and Jump-Activity Properties
Ayed, Fadhel
Lee, Juho
Caron, Francois
BAYESIAN ANALYSIS, 2024, 19 (01): : 123 - 152
[43] Deduction of the Klein-Fock-Gordon equation from a non-Markovian stochastic equation for real pure-jump process
Skorobogatov, GA
INTERNATIONAL JOURNAL OF QUANTUM CHEMISTRY, 2002, 88 (05) : 614 - 623
[44] INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITO SEMIMARTINGALES
Veraart, Almut E. D.
ECONOMETRIC THEORY, 2010, 26 (02) : 331 - 368
[45] NEAR-OPTIMAL ESTIMATION OF JUMP ACTIVITY IN SEMIMARTINGALES
Bull, Adam D.
ANNALS OF STATISTICS, 2016, 44 (01): : 58 - 86
[46] Estimation of state-dependent jump activity and drift for Markovian semimartingales
Mies, Fabian
JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2021, 210 : 114 - 140
[47] Well-posedness results for a new class of stochastic spatio-temporal SIR-type models driven by proportional pure-jump Lévy noise
Mehdaoui, Mohamed
APPLIED MATHEMATICAL MODELLING, 2024, 126 : 543 - 567
[48] ON THE COMPARISON OF PURE JUMP-PROCESSES
BASSAN, B
SCARSINI, M
RAIRO-RECHERCHE OPERATIONNELLE-OPERATIONS RESEARCH, 1992, 26 (01): : 41 - 55
[49] PURE JUMP SHOCK-MODELS IN RELIABILITY
DROSEN, JW
ADVANCES IN APPLIED PROBABILITY, 1986, 18 (02) : 423 - 440
[50] A THINNING RESULT FOR PURE JUMP-PROCESSES
BOKER, F
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1984, 16 (02) : 171 - 177

← 1 2 3 4 5 →