نتایج جستجو برای: jump diffusion model

تعداد نتایج: 2244074  

Journal: :Physical biology 2014
P R Taylor R E Baker C A Yates

In this paper we explore lattice-based position-jump models of diffusion, and the implications of introducing non-local jumping; particles can jump to a range of nearby boxes rather than only to their nearest neighbours. We begin by deriving conditions for equivalence with traditional local jumping models in the continuum limit. We then generalize a previously postulated implementation of the R...

2007
Alexander V. Evteev Elena V. Levchenko Irina V. Belova Graeme E. Murch

1. Introduction Carbon interstitial diffusion in austenite (γ-Fe) has been studied experimentally and analytically for many years. Two experimental studies have been made of carbon diffusion in austenite at low carbon contents. One is a measurement of the carbon chemical or intrinsic diffusion coefficient at 1075 K, 1124 K and 1273 K, and as a function of carbon content [1]; the other is a meas...

Journal: :SIAM J. Math. Analysis 2008
Barbara Forster Eva Lütkebohmert Josef Teichmann

In mathematical Finance calculating the Greeks by Malliavin weights has proved to be a numerically satisfactory procedure for finite-dimensional Itô-diffusions. The existence of Malliavin weights relies on absolute continuity of laws of the projected diffusion process and a sufficiently regular density. In this article we first prove results on absolute continuity for laws of projected jump-dif...

2010
H.-P. SCHEFFLER

Abstract. In a continuous time random walk (CTRW), a random waiting time precedes each random jump. The CTRW model is useful in physics, to model diffusing particles. Its scaling limit is a time-changed process, whose densities solve an anomalous diffusion equation. Some applications require the anticipating version, an oracle continuous time random walk (OCTRW), where the next jump after any g...

2011
H.-P. SCHEFFLER

In a continuous time random walk (CTRW), a random waiting time precedes each random jump. The CTRW model is useful in physics, to model diffusing particles. Its scaling limit is a time-changed process, whose densities solve an anomalous diffusion equation. This paper develops limit theory and governing equations for cluster CTRW, in which a random number of jumps cluster together into a single ...

Journal: :Statistics and Computing 2012
Michael Amrein Hans R. Künsch

We present a simulation methodology for Bayesian estimation of rate parameters in Markov jump processes arising for example in stochastic kinetic models. To handle the problem of missing components and measurement errors in observed data, we embed the Markov jump process into the framework of a general state space model. We do not use diffusion approximations. Markov chain Monte Carlo and parti...

2005
Erik Ekström Johan Tysk ERIK EKSTRÖM JOHAN TYSK

We study convexity and monotonicity properties of option prices in a jump-diffusion model using the fact that these prices satisfy certain parabolic integro-differential equations. Conditions are provided under which preservation of convexity holds, i.e. under which the value, calculated under a chosen martingale measure, of an option with a convex contract function is convex as a function of t...

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