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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 Orcid Logo, Jiang-lun Wu Orcid Logo

Communications in Statistics - Theory and Methods, Pages: 1 - 14

Swansea University Authors: Jiao Song Orcid Logo, Jiang-lun Wu Orcid Logo

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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...

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Published in: Communications in Statistics - Theory and Methods
ISSN: 0361-0926 1532-415X
Published: Taylor & Francis 2018
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URI: https://cronfa.swan.ac.uk/Record/cronfa40957
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first_indexed 2018-07-10T10:31:22Z
last_indexed 2018-12-03T20:12:58Z
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spelling 2018-12-03T14:27:01.3239389 v2 40957 2018-07-09 A detection algorithm for the first jump time in sample trajectories of jump-diffusions driven by α-stable white noise 00048c7531209d3238534e0b319de731 0000-0002-4976-156X Jiao Song Jiao Song true false dbd67e30d59b0f32592b15b5705af885 0000-0003-4568-7013 Jiang-lun Wu Jiang-lun Wu true false 2018-07-09 HDAT 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. Journal Article Communications in Statistics - Theory and Methods 1 14 Taylor & Francis 0361-0926 1532-415X Stochastic differential equations, $\alpha$-stable processes, simulation, multivariate Lagrange interpolation. 31 10 2018 2018-10-31 10.1080/03610926.2018.1500602 COLLEGE NANME Health Data Science COLLEGE CODE HDAT Swansea University 2018-12-03T14:27:01.3239389 2018-07-09T13:16:22.0688202 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Jiao Song 0000-0002-4976-156X 1 Jiang-lun Wu 0000-0003-4568-7013 2 0040957-09072018131719.pdf reviseFinalV.pdf 2018-07-09T13:17:19.4000000 Output 1626129 application/pdf Accepted Manuscript true 2019-10-09T00:00:00.0000000 true eng
title A detection algorithm for the first jump time in sample trajectories of jump-diffusions driven by α-stable white noise
spellingShingle 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
title_short A detection algorithm for the first jump time in sample trajectories of jump-diffusions driven by α-stable white noise
title_full A detection algorithm for the first jump time in sample trajectories of jump-diffusions driven by α-stable white noise
title_fullStr A detection algorithm for the first jump time in sample trajectories of jump-diffusions driven by α-stable white noise
title_full_unstemmed A detection algorithm for the first jump time in sample trajectories of jump-diffusions driven by α-stable white noise
title_sort A detection algorithm for the first jump time in sample trajectories of jump-diffusions driven by α-stable white noise
author_id_str_mv 00048c7531209d3238534e0b319de731
dbd67e30d59b0f32592b15b5705af885
author_id_fullname_str_mv 00048c7531209d3238534e0b319de731_***_Jiao Song
dbd67e30d59b0f32592b15b5705af885_***_Jiang-lun Wu
author Jiao Song
Jiang-lun Wu
author2 Jiao Song
Jiang-lun Wu
format Journal article
container_title Communications in Statistics - Theory and Methods
container_start_page 1
publishDate 2018
institution Swansea University
issn 0361-0926
1532-415X
doi_str_mv 10.1080/03610926.2018.1500602
publisher Taylor & Francis
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title Faculty of Science and Engineering
department_str School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics
document_store_str 1
active_str 0
description 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.
published_date 2018-10-31T03:52:11Z
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score 11.014067

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