Works about JUMP processes

Results: 891

Inventory Systems with Record Inaccuracy: Transaction Errors vs. Unobservable Loss.

Published in:

Manufacturing & Service Operations Management (M&SOM), 2025, v. 27, n. 4, p. 1183, doi. 10.1287/msom.2023.0274

By:

Chehrazi, Naveed

Publication type:

Article

Sampled-data consensus tracking of nonlinear semi-Markovian multi-agent systems via improved reciprocally convex inequality.

Published in:

Neural Computing & Applications, 2025, v. 37, n. 19, p. 14471, doi. 10.1007/s00521-025-11263-w

By:

Zhao, Yan;
Zheng, Cheng-De

Publication type:

Article

Anomalous Transport of Heterogeneous Population and Time-Changed Pólya Process.

Published in:

Mathematics (2227-7390), 2025, v. 13, n. 12, p. 1968, doi. 10.3390/math13121968

By:

Fedotov, Sergei;
Ivanov, Alexey O.;
Zhang, Hong

Publication type:

Article

The Well-Posedness and Ergodicity of a CIR Equation Driven by Pure Jump Noise.

Published in:

Mathematics (2227-7390), 2025, v. 13, n. 12, p. 1938, doi. 10.3390/math13121938

By:

Liu, Xu;
Hong, Xingfu;
Tian, Fujing;
Xiao, Chufan;
Wen, Hao

Publication type:

Article

Static hedging of vanilla and exotic options in a South African context.

Published in:

Orion, 2024, v. 40, n. 1, p. 25, doi. 10.5784/40-1-768

By:

Levendis, Alexis;
Maré, Eben

Publication type:

Article

Editorial.

Published in:

Orion, 2023, v. 39, n. 1, p. i, doi. 10.5784/39-1-764

By:

Visagie, Jaco

Publication type:

Article

On the calibration of stochastic volatility models to estimate the real-world measure used in option pricing.

Published in:

Orion, 2023, v. 39, n. 1, p. 65, doi. 10.5784/39-1-747

By:

Levendis, Alexis;
Maré, Eben

Publication type:

Article

Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 4, p. 2779, doi. 10.1007/s11009-022-09954-1

By:

Martín-González, Ehyter Matías;
Murillo-Salas, Antonio;
Pantí, Henry

Publication type:

Article

Optimizing Dividends and Capital Injections Limited by Bankruptcy, and Practical Approximations for the Cramér-Lundberg Process.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 4, p. 2339, doi. 10.1007/s11009-021-09916-z

By:

Avram, Florin;
Goreac, Dan;
Adenane, Rim;
Solon, Ulyses

Publication type:

Article

Estimation of Tempered Stable Lévy Models of Infinite Variation.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 2, p. 713, doi. 10.1007/s11009-022-09940-7

By:

Figueroa-López, José E.;
Gong, Ruoting;
Han, Yuchen

Publication type:

Article

Statistical Inference for Partially Observed Markov-Modulated Diffusion Risk Model.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 2, p. 571, doi. 10.1007/s11009-022-09932-7

By:

Baltazar-Larios, F.;
Esparza, Luz Judith R.

Publication type:

Article

Valuation of Annuity Guarantees Under a Self-Exciting Switching Jump Model.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 2, p. 963, doi. 10.1007/s11009-022-09931-8

By:

Njike Leunga, Charles Guy;
Hainaut, Donatien

Publication type:

Article

Stochastic Fluid Models with Positive Jumps at Level Zero.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 1, p. 289, doi. 10.1007/s11009-021-09852-y

By:

Nabli, Hédi

Publication type:

Article

Optimal Reinsurance and Investment Strategy for an Insurer in a Model with Delay and Jumps.

Published in:

Methodology & Computing in Applied Probability, 2020, v. 22, n. 2, p. 777, doi. 10.1007/s11009-019-09734-4

By:

Zhang, Qiang;
Chen, Ping

Publication type:

Article

Exit Times, Undershoots and Overshoots for Reflected CIR Process with Two-Sided Jumps.

Published in:

Methodology & Computing in Applied Probability, 2020, v. 22, n. 2, p. 693, doi. 10.1007/s11009-019-09730-8

By:

Jiang, Pingping;
Li, Bo;
Wang, Yongjin

Publication type:

Article

First Crossing Times of Telegraph Processes with Jumps.

Published in:

Methodology & Computing in Applied Probability, 2020, v. 22, n. 1, p. 349, doi. 10.1007/s11009-019-09709-5

By:

Ratanov, Nikita

Publication type:

Article

Boundary Crossing Probabilities of Jump Diffusion Processes to Time-Dependent Boundaries.

Published in:

Methodology & Computing in Applied Probability, 2020, v. 22, n. 1, p. 13, doi. 10.1007/s11009-018-9685-5

By:

Wu, Tung-Lung

Publication type:

Article

Telegraph Processes with Random Jumps and Complete Market Models.

Published in:

Methodology & Computing in Applied Probability, 2015, v. 17, n. 3, p. 677, doi. 10.1007/s11009-013-9388-x

By:

Ratanov, Nikita

Publication type:

Article

On the First-Passage Area of a One-Dimensional Jump-Diffusion Process.

Published in:

Methodology & Computing in Applied Probability, 2013, v. 15, n. 1, p. 85, doi. 10.1007/s11009-011-9223-1

By:

Abundo, Mario

Publication type:

Article

On the Generalized Telegraph Process with Deterministic Jumps.

Published in:

Methodology & Computing in Applied Probability, 2013, v. 15, n. 1, p. 215, doi. 10.1007/s11009-011-9235-x

By:

Di Crescenzo, Antonio;
Martinucci, Barbara

Publication type:

Article

Backward Stochastic Difference Equations for a Single Jump Process.

Published in:

Methodology & Computing in Applied Probability, 2012, v. 14, n. 4, p. 955, doi. 10.1007/s11009-011-9217-z

By:

Shen, Leo;
Elliott, Robert

Publication type:

Article

A Double-ended Queue with Catastrophes and Repairs, and a Jump-diffusion Approximation.

Published in:

Methodology & Computing in Applied Probability, 2012, v. 14, n. 4, p. 937, doi. 10.1007/s11009-011-9214-2

By:

Crescenzo, Antonio;
Giorno, Virginia;
Krishna Kumar, Balasubramanian;
Nobile, Amelia

Publication type:

Article

On a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbation.

Published in:

Methodology & Computing in Applied Probability, 2012, v. 14, n. 4, p. 973, doi. 10.1007/s11009-011-9215-1

By:

Zhang, Zhimin;
Yang, Hailiang;
Yang, Hu

Publication type:

Article

Exact Bayesian Prediction in a Class of Markov-switching Models.

Published in:

Methodology & Computing in Applied Probability, 2012, v. 14, n. 1, p. 125, doi. 10.1007/s11009-010-9189-4

By:

Bardel, Noémie;
Desbouvries, François

Publication type:

Article

Numerical Computation of First-Passage Times of Increasing Lévy Processes.

Published in:

Methodology & Computing in Applied Probability, 2010, v. 12, n. 4, p. 695, doi. 10.1007/s11009-009-9158-y

By:

Veillette, Mark;
Taqqu, Murad

Publication type:

Article

Estimating Stochastic Dynamical Systems Driven by a Continuous-Time Jump Markov Process.

Published in:

Methodology & Computing in Applied Probability, 2006, v. 8, n. 4, p. 431, doi. 10.1007/s11009-006-0423-z

By:

Chiquet, Julien;
Limnios, Nikolaos

Publication type:

Article

Forecasting Trading-Session Return Volatility in Taiwan Futures Market: A Periodic Regime Switching with Jump Approach.

Published in:

Asia-Pacific Financial Markets, 2024, v. 31, n. 2, p. 285, doi. 10.1007/s10690-023-09415-w

By:

Lai, Yi-Hao;
Wang, Yi-Chiuan;
Chang, Yu-Ching

Publication type:

Article

Lévy processes driven by stochastic volatility.

Published in:

Asia-Pacific Financial Markets, 2005, v. 12, n. 4, p. 333, doi. 10.1007/s10690-006-9029-2

By:

Chourdakis, Kyriakos

Publication type:

Article

On the computation of the eigenvalues of Dirac systems.

Published in:

Calcolo, 2012, v. 49, n. 4, p. 221, doi. 10.1007/s10092-011-0052-y

By:

Annaby, M.;
Tharwat, M.

Publication type:

Article

Extended Systems with Deterministic Local Dynamics and Random Jumps.

Published in:

Communications in Mathematical Physics, 2007, v. 275, n. 3, p. 709, doi. 10.1007/s00220-007-0312-5

By:

Kobre, Elisha;
Lai-Sang Young

Publication type:

Article

Distribution of Functionals of a Brownian Motion with Nonstandard Switching.

Published in:

Journal of Mathematical Sciences, 2021, v. 258, n. 6, p. 758, doi. 10.1007/s10958-021-05578-x

By:

Borodin, A. N.

Publication type:

Article

A Note on Functional Limit Theorems for Compound Cox Processes*.

Published in:

Journal of Mathematical Sciences, 2016, v. 218, n. 2, p. 182, doi. 10.1007/s10958-016-3020-x

By:

Korolev, V.;
Chertok, A.;
Korchagin, A.;
Kossova, E.;
Zeifman, A.

Publication type:

Article

Pricing American-Style Derivatives with European Call Options.

Published in:

Management Science, 2006, v. 52, n. 1, p. 95, doi. 10.1287/mnsc.1050.0447

By:

Laprise, Scott B.;
Fu, Michael C.;
Marcus, Steven I.;
Lim, Andrew E. B.;
Zhang, Huiju

Publication type:

Article

A Jump-Diffusion Model for Option Pricing.

Published in:

Management Science, 2002, v. 48, n. 8, p. 1086, doi. 10.1287/mnsc.48.8.1086.166

By:

Kou, S.G.

Publication type:

Article

Procedimiento metodológico para la determinación de las invariantes de habilidades motrices del salto de longitud en la iniciación deportiva.

Published in:

PODIUM- Revista de Ciencia y Tecnologia en la Cultura Física, 2021, v. 16, n. 1, p. 275

By:

Sánchez Acosta, Hiramnia Mabel;
Sánchez Acosta, Agnie;
Sánchez Oms, Alberto Bautista

Publication type:

Article

Jumping Fluid Models and Delay Stability of Max-Weight Dynamics Under Heavy-Tailed Traffic.

Published in:

Stochastic Systems, 2023, v. 13, n. 4, p. 399, doi. 10.1287/stsy.2023.0110

By:

Sharifnassab, Arsalan;
Tsitsiklis, John

Publication type:

Article

Large-Time Behavior of Finite-State Mean-Field Systems With Multiclasses.

Published in:

Stochastic Systems, 2023, v. 13, n. 1, p. 93, doi. 10.1287/stsy.2022.0100

By:

Dawson, Donald A.;
Sid-Ali, Ahmed;
Zhao, Yiqiang Q.

Publication type:

Article

Optimal Liquidity-Based Trading Tactics.

Published in:

Stochastic Systems, 2021, v. 11, n. 4, p. 368, doi. 10.1287/stsy.2021.0078

By:

Lehalle, Charles-Albert;
Mounjid, Othmane;
Rosenbaum, Mathieu

Publication type:

Article

Polynomial Jump-Diffusion Models.

Published in:

Stochastic Systems, 2020, v. 10, n. 1, p. 71, doi. 10.1287/stsy.2019.0052

By:

Filipović, Damir;
Larsson, Martin

Publication type:

Article

ANALYSIS THE SOLUTIONS OF THE DIFFERENTIAL NON-LINEAR EQUATIONS DESCRIBING THE INFORMATION SPREADING PROCESS WITH JUMP DISCONTINUITY.

Published in:

Matematychni Studii, 2019, v. 51, n. 2, p. 159, doi. 10.15330/ms.51.2.159-167

By:

NAKONECHNYI, O. G.;
ZINKO, P. M.;
SHEVCHUK, I. M.

Publication type:

Article

Weak Poincaré inequalities and hitting times for jump processes.

Published in:

Journal of Inequalities & Applications, 2016, v. 2016, n. 1, p. 1, doi. 10.1186/s13660-016-1134-9

By:

Cheng, Huihui;
Xiao, Hongde

Publication type:

Article

Pricing Equity-Indexed Annuities under a Stochastic Dividend Model.

Published in:

Mathematics (2227-7390), 2023, v. 11, n. 3, p. 603, doi. 10.3390/math11030603

By:

Shan, Yuanchuang;
Shu, Huisheng;
Yi, Haoran

Publication type:

Article

Parameter Estimation for a Fractional Black–Scholes Model with Jumps from Discrete Time Observations.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 22, p. 4190, doi. 10.3390/math10224190

By:

Thony, John-Fritz;
Vaillant, Jean

Publication type:

Article

Identification of Continuous-Discrete Hidden Markov Models with Multiplicative Observation Noise.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 17, p. 3062, doi. 10.3390/math10173062

By:

Borisov, Andrey;
Gorshenin, Andrey

Publication type:

Article

A (2+1)-Dimensional Fractional-Order Epidemic Model with Pulse Jumps for Omicron COVID-19 Transmission and Its Numerical Simulation.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 14, p. N.PAG, doi. 10.3390/math10142517

By:

Zhu, Wen-Jing;
Shen, Shou-Feng;
Ma, Wen-Xiu

Publication type:

Article

Uncertain Population Model with Jumps.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 13, p. 2265, doi. 10.3390/math10132265

By:

Gao, Caiwen;
Zhang, Zhiqiang;
Liu, Baoliang

Publication type:

Article

Spread Option Pricing in Regime-Switching Jump Diffusion Models.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 9, p. 1574, doi. 10.3390/math10091574

By:

Ramponi, Alessandro

Publication type:

Article

Categorical Functional Data Analysis. The cfda R Package.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 23, p. 3074, doi. 10.3390/math9233074

By:

Preda, Cristian;
Grimonprez, Quentin;
Vandewalle, Vincent

Publication type:

Article

Resource System with Losses in a Random Environment.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 21, p. 2685, doi. 10.3390/math9212685

By:

Naumov, Valeriy;
Samouylov, Konstantin

Publication type:

Article

Valuation of Cliquet-Style Guarantees with Death Benefits in Jump Diffusion Models.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 16, p. 2011, doi. 10.3390/math9162011

By:

Yong, Yaodi;
Yang, Hailiang

Publication type:

Article