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A detection algorithm for the first jump time in sample trajectories of jump-diffusions driven by α-stable white noise
Jiao Song 
,
Jiang-lun Wu
,
Jiang-lun Wu
Communications in Statistics - Theory and Methods, Pages: 1 - 14
Swansea University Authors:
Jiao Song , Jiang-lun Wu
-
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DOI (Published version): 10.1080/03610926.2018.1500602
Abstract
The purpose of this paper is to develop a detection algorithm for the first jump point in sampling trajectories of jump-diffusions which are described as solutions of stochastic differential equations driven by $\alpha$-stable white noise. This is done by a multivariate Lagrange interpolation approa...
| Published in: | Communications in Statistics - Theory and Methods |
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| ISSN: | 0361-0926 1532-415X |
| Published: |
Taylor & Francis
2018
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| Online Access: |
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa40957 |
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| Abstract: |
The purpose of this paper is to develop a detection algorithm for the first jump point in sampling trajectories of jump-diffusions which are described as solutions of stochastic differential equations driven by $\alpha$-stable white noise. This is done by a multivariate Lagrange interpolation approach. To this end, we utilise computer simulation algorithm in MATLAB to visualise the sampling trajectories of the jump-diffusions for various combinations of parameters arising in the modelling structure of stochastic differential equations. |
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| Keywords: |
Stochastic differential equations, $\alpha$-stable processes, simulation, multivariate Lagrange interpolation. |
| College: |
Faculty of Science and Engineering |
| Start Page: |
1 |
| End Page: |
14 |