Found 1,754 Documents (Results 1–100)
On transience of solutions of stochastic differential equations with jumps. (Ukrainian. English summary) Zbl 07909398
Stochastic intervention control of mean-field jump system with noisy observation via L-derivatives with application to finance. (English) Zbl 07905412
Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay. (English) Zbl 07904966
Random walks in Dirichlet environments on \(\mathbb{Z}\) with bounded jumps. (English. French summary) Zbl 07904835
The time-dependent symbol of a non-homogeneous Itô process and corresponding maximal inequalities. (English) Zbl 07900856
The influence of Lévy noise on the dynamical behavior of a stochastic HIV/AIDS model with vertical transmission. (English) Zbl 07895383
A maximum principle for progressive optimal control of mean-field forward-backward stochastic system involving random jumps and impulse controls. (English) Zbl 07892498
MSC:
93-XX
The mean-field linear quadratic optimal control problem for stochastic systems controlled by impulses. (English) Zbl 07892485
MSC:
93-XX
Sentiment-driven mean reversion in the 4/2 stochastic volatility model with jumps. (English) Zbl 07889699
MSC:
62-XX
Constrained monotone mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients. (English) Zbl 07885773
Reviewer: Andrius Grigutis (Vilnius)
Asymptotics for short maturity Asian options in jump-diffusion models with local volatility. (English) Zbl 07885177
Dynamic risk measures via backward doubly stochastic Volterra integral equations with jumps. (English) Zbl 07881557
Feller property of regime-switching jump diffusion processes with hybrid jumps. (English) Zbl 07880486
The motion of the tagged particle in the asymmetric exclusion process with long jumps. (English) Zbl 07874425
Infinite horizon mean-field linear quadratic optimal control problems with jumps and the related Hamiltonian systems. (English) Zbl 07873831
Stochastic simulation of exciton transport in semiconductor heterostructures. (English) Zbl 07873676
Directional transience of random walks in random environments with bounded jumps. (English) Zbl 1540.60227
Phase states aggregation of random walk on a multidimensional lattice. (English. Russian original) Zbl 1540.60083
Mosc. Univ. Math. Bull. 79, No. 1, 60-70 (2024); translation from Vestn. Mosk. Univ., Ser. I 79, No. 1, 54-64 (2024).
Coupled system of second-order stochastic differential inclusions driven by Lévy noise. (English) Zbl 1540.34124
Doubly reflected generalized BSDEs with jumps and an obstacle problem of parabolic IPDEs with nonlinear Neumann boundary conditions. (English) Zbl 1540.60111
Existence of a class of doubly perturbed stochastic functional differential equations with Poisson jumps. (English) Zbl 1540.60121
MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts. (English) Zbl 1537.91146
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters. (English) Zbl 1537.91314
Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S&P500 data. (English) Zbl 07859334
Stationary distribution analysis of a stochastic SIAM epidemic model with Ornstein-Uhlenbeck process and media coverage. (English) Zbl 1537.92141
Asymptotic behavior of an SIQR epidemic model driven by Lévy jumps on scale-free networks. (English) Zbl 1539.92175
Boundedness and stability of nonlinear hybrid neutral stochastic delay differential equation with Lévy jumps under different structures. (English) Zbl 1539.93195
Wasserstein distance estimates for jump-diffusion processes. (English) Zbl 07842650
Reviewer: Monique Pontier (Toulouse)
Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps. (English) Zbl 07839865
Li-Yau and Harnack inequalities via curvature-dimension conditions for discrete long-range jump operators including the fractional discrete Laplacian. (English) Zbl 1537.60100
Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors. (English) Zbl 1536.91292
The impact of Lévy noise on the threshold dynamics of a stochastic susceptible-vaccinated-infected-recovered epidemic model with general incidence functions. (English) Zbl 1536.92133
Stability for Markov switching stochastic delay systems binding event-triggered mechanism to activate multi-impulse jumps. (English) Zbl 1533.93834
High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times. (English) Zbl 07822324
Stock co-jump networks. (English) Zbl 07814010
Strong convergence of jump-adapted implicit Milstein method for a class of nonlinear jump-diffusion problems. (English) Zbl 07803029
The truncated EM method for jump-diffusion SDDEs with super-linearly growing diffusion and jump coefficients. (English) Zbl 07803027
On the rôle of singular functions in extending the probabilistic symbol to its most general class. (English) Zbl 1530.60078
On the pathwise uniqueness of solutions of one-dimensional reflected stochastic differential equations with jumps. (English) Zbl 1538.60107
MSC:
60H10
Approximate controllability and optimal control in fractional differential equations with multiple delay controls, fractional Brownian motion with Hurst parameter in \(0<H<\frac{1}{2}\), and Poisson jumps. (English) Zbl 1530.34064
Approximate controllability for Hilfer fractional stochastic non-instantaneous impulsive differential system with Rosenblatt process and Poisson jumps. (English) Zbl 1530.34055
\(\mathcal{H}_\infty\) filter design for switched descriptor systems with different derivative term matrices. (English) Zbl 07748306
Capturing measurement error bias in volatility forecasting by realized GARCH models. (English) Zbl 07921409
Brentari, Eugenio (ed.) et al., Models for data analysis. SIS 2018. Selected papers based on the presentations at the 49th scientific meeting of the Italian Statistical Society, Palermo, Italy, June 20–22, 2018. Cham: Springer. Springer Proc. Math. Stat. 402, 141-159 (2023).
MSC:
62-XX
Approximate controllability of stochastic delay differential systems driven by Poisson jumps with instantaneous and noninstantaneous impulses. (English) Zbl 07892432
MSC:
93-XX
Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps. (English) Zbl 07865927
MSC:
90-XX
Generalized BSDEs driven by RCLL martingales with stochastic monotone coefficients. (English) Zbl 1535.60097
Quantized \(H_\infty\) output feedback control for uncertain impulsive switched systems via a hybrid control approach. (English) Zbl 07839284
An existence result for two-dimensional parabolic integro-differential equations involving CEV model. (English) Zbl 07836915
Persistence in mean and extinction of a hybrid stochastic delay Gompertz model with Levy jumps. (English) Zbl 07814814
Large deviations and homogenization of semilinear nonlocal PDE with the Neumann boundary condition. (English) Zbl 1532.60138
Exponential quasi-ergodicity for processes with discontinuous trajectories. (English) Zbl 1536.37007
The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets. (English) Zbl 07801433
Exponential ergodicity for stochastic equations of nonnegative processes with jumps. (English) Zbl 1536.60084
Reviewer: Bastien Mallein (Toulouse)
Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. (English) Zbl 1531.91257
On some non-instantaneous impulsive differential equations with fractional Brownian motion and poisson jumps. (English) Zbl 1538.34229
Analysis of a stochastic SVIR model with time-delayed stages of vaccination and Lévy jumps. (English) Zbl 1530.92126
Fractional neutral stochastic integrodifferential equations with Caputo fractional derivative: Rosenblatt process, Poisson jumps and optimal control. (English) Zbl 1538.34326
The partial controllability of linear stochastic control systems with terminal constraints and its applications to game-based control systems with jumps. (English) Zbl 1530.93035
Coupled stochastic systems of Skorokhod type: well-posedness of a mathematical model and its applications. (English) Zbl 1533.60100
Approximate controllability of second-order impulsive neutral stochastic differential equations with state-dependent delay and Poisson jumps. (English) Zbl 1532.34082
Null controllability of Hilfer fractional stochastic integrodifferential equations with noninstantaneous impulsive and Poisson jump. (English) Zbl 07773905
Exponential behaviour of nonlinear fractional Schrödinger evolution equation with complex potential and Poisson jumps. (English) Zbl 1527.35467
Expected discounted penalty function and asymptotic dependence of the severity of ruin and surplus prior to ruin for two-sided Lévy risk processes. (English) Zbl 07767140
MSC:
62-XX
The maximum principle for stochastic control problem with jumps in progressive structure. (English) Zbl 1533.93852
Reviewer: Hector Jasso (Ciudad de México)
Ergodic stationary distribution and extinction of stochastic delay chemostat system with Monod-Haldane functional response and higher-order Lévy jumps. (English) Zbl 1526.34061
Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions. (English) Zbl 1526.93278
Hydrodynamic limit for a boundary driven super-diffusive symmetric exclusion. (English) Zbl 1524.60261
New impulsive-integral inequality for stochastic differential equations with Poisson jumps and Caputo fractional derivative. (English) Zbl 1525.60082
Persistence and extinction of a modified LG-Holling type II predator-prey model with two competitive predators and Lévy jumps. (English) Zbl 1524.92073
Risky investments and survival probability in the insurance model with two-sided jumps: problems for integrodifferential equations and ordinary differential equation and their equivalence. (English) Zbl 1522.91202
Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation. (English) Zbl 1525.65010
Stochastic linear-quadratic control with a jump and regime switching on a random horizon. (English) Zbl 1522.93189
Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student’s t-distribution. (English) Zbl 07739532
MSC:
62-XX
Generalized backward stochastic differential equations with jumps in a general filtration. (English) Zbl 1539.60069
The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon. (English) Zbl 1521.93212
Approximation and error analysis of forward-backward SDEs driven by general Lévy processes using shot noise series representations. (English) Zbl 1517.60065
First order strong approximation of Ait-Sahalia-type interest rate model with Poisson jumps. (English) Zbl 07730423
Robust stability and fuzzy controller synthesis for a class of hybrid re-entrant manufacturing systems. (English) Zbl 1520.93390
Ruin-related problems in the dual risk model under two different randomized observations. (English) Zbl 07720155
MSC:
62-XX
A robust investment-consumption optimization problem in a switching regime interest rate setting. (English) Zbl 1520.91411
Approximate controllability of semi-linear stochastic integrodifferential system with multiple delays and Poisson jumps in control. (English) Zbl 1517.34109
A defined benefit pension plan game with Brownian and Poisson jumps uncertainty. (English) Zbl 07709916
MSC:
90Bxx
\( \mathbb{L}^2\)-solutions of multidimensional generalized BSDEs with weak monotonicity and general growth generators in a general filtration. (English) Zbl 1515.60178
Stability of backward stochastic differential equations: the general Lipschitz case. (English) Zbl 1520.60050
Reviewer: Alexandra Rodkina (College Station)
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