Jump diffusion
View article
Nonlocal Convection-Diffusion Problems on Bounded Domains and Finite-Range Jump Processes Open
A nonlocal convection-diffusion model is introduced for the master equation of Markov jump processes in bounded domains. With minimal assumptions on the model parameters, the nonlocal steady and unsteady state master equations are shown to…
View article
Good Volatility, Bad Volatility, and Option Pricing Open
Advances in variance analysis permit the splitting of the total quadratic variation of a jump-diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions and highl…
View article
Robust optimal reinsurance–investment strategy with price jumps and correlated claims Open
This paper considers the robust optimal reinsurance–investment strategy selection problem with price jumps and correlated claims for an ambiguity-averse insurer (AAI). The correlated claims mean that future claims are correlated with histo…
View article
Water Diffusion Proceeds via a Hydrogen-Bond Jump Exchange Mechanism Open
The self-diffusion of water molecules plays a key part in a broad range of essential processes in biochemistry, medical imaging, material science, and engineering. However, its molecular mechanism and the role played by the water hydrogen-…
View article
Probabilistic Forecasting in Day-Ahead Electricity Markets: Simulating Peak and Off-Peak Prices Open
In this paper we include dependency structures for electricity price forecasting and forecasting evaluation. We work with off-peak and peak time series from the German-Austrian day-ahead price, hence we analyze bivariate data. We first est…
View article
The Onsager–Machlup function as Lagrangian for the most probable path of a jump-diffusion process Open
This work is devoted to deriving the Onsager-Machlup function for a class of stochastic dynamical systems under (non-Gaussian) Levy noise as well as (Gaussian) Brownian noise, and examining the corresponding most probable paths. This Onsag…
View article
Hydrogen influence on diffusion in nickel from first-principles calculations Open
International audience
View article
Characterizing abrupt transitions in stochastic dynamics Open
Data sampled at discrete times appears as a succession of discontinuous jumps, even if the underlying trajectory is continuous. We analytically derive a criterion that allows one to check whether for a given, even noisy time series the und…
View article
Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures Open
Summary Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state‐space representation is used to link observed returns, plus nonparametric measu…
View article
Reliability Analysis Based on a Jump Diffusion Model with Two Wiener Processes for Cloud Computing with Big Data Open
At present, many cloud services are managed by using open source software, such as OpenStack and Eucalyptus, because of the unification management of data, cost reduction, quick delivery and work savings. The operation phase of cloud compu…
View article
Transport Mechanism of Acetamide in Deep Eutectic Solvents Open
Over the last couple of decades, deep eutectic solvents (DESs) have emerged as novel alternatives to ionic liquids that are extensively used in the synthesis of innovative materials, metal processing, catalysis, etc. However, their usage i…
View article
Feynman–Kac formulas for regime-switching jump diffusions and their applications Open
This work develops Feynman-Kac formulas for a class of regime-switching jump diffusion processes, in which the jump part is driven by a Poisson random measure associated to a general L\'evy process and the switching part depends on the jum…
View article
Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view Open
We study the distribution E x [exp(- q ∫ 0 t 1 ( a , b ) ( X s )d s ); X t ∈ d y ], where -∞ ≤ a < b < ∞, and where q , t > 0 and x ∈ R for a spectrally negative Lévy process X . More precisely, we identify the Laplace transform with respe…
View article
Valuing catastrophe bonds involving correlation and CIR interest rate model Open
Natural catastrophes lead to problems of insurance and reinsurance industry. Classic insurance mechanisms are often inadequate for dealing with consequences of catastrophic events. Therefore, new financial instruments, including catastroph…
View article
Modeling Load Stochastic Jumps for Power Systems Dynamic Analysis Open
This letter proposes an approach to model power system loads as stochastic processes that incorporate both continuous and event-driven dynamics. The letter provides a brief theoretical background on the stochastic differential equations de…
View article
Phase-Type Models in Life Insurance: Fitting and Valuation of Equity-Linked Benefits Open
Phase-type (PH) distributions are defined as distributions of lifetimes of finite continuous-time Markov processes. Their traditional applications are in queueing, insurance risk, and reliability, but more recently, also in finance and, th…
View article
Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk Open
This paper considers an α-robust optimal investment problem for a defined contribution (DC) pension plan with uncertainty about jump and diffusion risks in a mean-variance framework. Our model allows the pension manager to have different l…
View article
Deep Hedging under Rough Volatility Open
We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional) Markovian setup. In particular, we analyse the hedging performance of the original architecture under rough volatility models…
View article
Properties of switching jump diffusions: Maximum principles and Harnack inequalities Open
This work examines a class of switching jump diffusion processes. The main effort is devoted to proving the maximum principle and obtaining the Harnack inequalities. Compared with the diffusions and switching diffusions, the associated ope…
View article
In search of time-varying jumps during the turmoil periods: Evidence from crude oil futures markets Open
Prior literature demonstrates that energy prices are characterized by time-varying jumps. However, earlier studies do not investigate if the intensity of such jumps appears to be higher amid periods of extreme volatility in comparison to n…
View article
Ergodicity of stochastic differential equations with jumps and singular coefficients Open
We show the strong well-posedness of SDEs driven by general multiplicative Lévy noises with Sobolev diffusion and jump coefficients and integrable drift. Moreover, we also study the strong Feller property, irreducibility as well as the exp…
View article
Detecting Jump Risk and Jump-Diffusion Model for Bitcoin Options Pricing and Hedging Open
In this paper, we conduct a fast calibration in the jump-diffusion model to capture the Bitcoin price dynamics, as well as the behavior of some components affecting the price itself, such as the risk of pitfalls and its ambiguous effect on…
View article
Continuous Mixed-Laplace Jump Diffusion Models for Stocks and Commodities Open
This paper proposes two jump diffusion models with and without mean reversion,for stocks or commodities, capable to fit highly leptokurtic processes. The jump component is acontinuous mixture of independent point processes with Laplace jum…
View article
Analysis and data-driven reconstruction of bivariate jump-diffusion processes Open
We introduce the bivariate jump-diffusion process, consisting of two-dimensional diffusion and two-dimensional jumps, that can be coupled to one another. We present a data-driven, nonparametric estimation procedure of higher-order (up to 8…
View article
Infinite horizon jump-diffusion forward-backward stochastic differential equations and their application to backward linear-quadratic problems Open
In this paper, we investigate infinite horizon jump-diffusion\nforward-backward stochastic differential equations under some monotonicity\nconditions. We establish an existence and uniqueness theorem, two stability\nresults and a compariso…
View article
Electrostatic Estimation of Intercalant Jump-Diffusion Barriers Using Finite-Size Ion Models Open
We report on a scheme for estimating intercalant jump-diffusion barriers that are typically obtained from demanding density functional theory-nudged elastic band calculations. The key idea is to relax a chain of states in the field of the …
View article
Contrast function estimation for the drift parameter of ergodic jump diffusion process Open
In this paper, we consider an ergodic diffusion process with jumps whose drift coefficient depends on an unknown parameter. We suppose that the process is discretely observed. We introduce an estimator based on a contrast function, which i…
View article
Pricing power exchange options with hawkes jump diffusion processes Open
In this article, we propose a jump diffusion framework to price the power exchange options. We model the price dynamics of assets using a Hawkes jump diffusion model with common factors to describe the correlated jump risk and clustering o…
View article
Consensus-based optimization via jump-diffusion stochastic differential equations Open
We introduce a new consensus-based optimization (CBO) method where an interacting particle system is driven by jump-diffusion stochastic differential equations (SDEs). We study well-posedness of the particle system as well as of its mean-f…
View article
Representation of exchange option prices under stochastic volatility jump-diffusion dynamics Open
In this article, we provide representations of European and American exchange option prices under stochastic volatility jump-diffusion (SVJD) dynamics following models by Merton [Option pricing when underlying stock returns are discontinuo…