Nonparametric methods are becoming popular recently in estimating continuous-time di¤usion models due to their ‡exibility. This paper provides a new approach to constructing point-wise con…dence intervals for nonparametric drift and di¤usion functions via empirical likelihood (EL) in conjunction with local linear smoothing. It serves as a promising competitor to the conventional asymptotic norm...

We examine Schweizer's (1991) locally risk-minimizing (LRM) hedge approach for hedging a European call in the case when the stock price follows a Poisson jump di usion process with lognormally distributed jump sizes. In contrast to Merton's (1976) hedging strategy where di usion risk is perfectly hedged while jump risk remains un-hedged, the locally risk-minimizing strategy hedges both di usion...

A di usion model of the roundtrip time experienced by packets on the Internet is developed. The parameters of the di usion system are modeled as Markov processes. The transition probabilities of the parameters are modeled with a mixture of Laplace distributions. The stationary distributions of the parameters are modeled as Normal distributions. The results show that the model is able to reprodu...

This paper provides a review of a new method of addressing problems in di usion Monte Carlo: the Green's function rst-passage method (GFFP). In particular, we address four new strands of thought and their interaction with the GFFP method: the use of angle-averaging methods to reduce vector or tensor Laplace equations to scalar Laplace equations; the use of the simulation-tabulation (ST) method ...

We describe the use of upwind monotonic interpolation methods for the solution of the time-dependent radiative transfer equation in both optically thin and thick media. These methods, originally developed to solve Eulerian advection problems in hydrodynamics, have the ability to propagate sharp features in the ow with very little numerical di usion. We consider the implementation of both explic...

In this paper, a digital halftoning method is proposed based on a recently-proposed multiscale error di usion technique for digital halftoning. It can improve the di usion performance by e ectively removing pattern noise and eliminating boundary and `blackhole' e ects. A dot-overlap compensation scheme is also proposed to eliminate the bias in the gray scale of the printed images. EDICS: IP 3.2...

The safe and economic operation of nuclear power plants (NPPs) requires that the behaviour and performance of the fuel can be calculated reliably over its expected lifetime. This requires highly developed codes that treat the nuclear fuel in a general manner and which take into account the large number of in uences on fuel behaviour, e.g. thermal, mechanical, chemical, etc. Although many mature...

This paper studies the rst passage times to at boundaries for a double exponential jump di usion process, which consists of a continuous part driven by a Brownian motion and a jump part with jump sizes having a double exponential distribution. Explicit solutions of the Laplace transforms, of both the distribution of the rst passage times and the joint distribution of the process and its running...

We investigate the empirical performance of high-dimensional a¢ ne stochastic volatility and jump di¤usion (AJD) pricing models to …t S&P 500 stock index option prices.We use these models to study how to structure two kind of risk components: volatility factor and jump di¤usion within a multi-factor framework. We identify that more than two volatility factors are needed to be included into mode...

The redistribution of Be during growth of GaInP layers by gas source molecular beam epitaxy has been studied using secondary ion mass spectrometry for the "rst time. Apparent Be di!usion occurs at doping level over 4]1019 cm~3 at growth temperature of 5003C. At lower temperature the Be di!usion pro"le exhibits a signi"cant increase of Be concentration and reduced di!usion. In contrast to Zn beh...