Explicit solution processes for nonlinear jump-diffusion equations

DOI10.1142/S1402925110000908MaRDI QIDQ3060130zbMATH OpenFDO

Authors Gazanfer Ünal, Hasret Turkeri, Chaudry Masood Khalique

Publication date 1 December 2010

Published in Journal of Nonlinear Mathematical Physics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1142/S1402925110000908

zbMATH Keywords

stochastic differential equationcompound Poisson processstochastic integrating factorlinearization conditionsexplicit solution process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 4022294 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• A jump-diffusion model for option pricing
• A theory of the term structure of interest rates
• Financial Modelling with Jump Processes
• Jump diffusion processes and their applications in insurance and finance
• Lévy Processes and Stochastic Calculus
• Mixed characteristic homological theorems in low degrees.
• Non-life insurance mathematics. An introduction with stochastic processes.
• Normal forms for stochastic differential equations
• Option pricing when underlying stock returns are discontinuous
• The surprise element: Jumps in interest rates.
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(7)

• Exact linearization of one-dimensional jump-diffusion stochastic differential equations
• Exact solvability of stochastic differential equations driven by finite activity Lévy processes
• A PDE approach to jump-diffusions
• Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
• \(Q_p\)-valued jump processes associated with linear and nonlinear pseudo-differential equations
• Linearization of one-dimensional nonautonomous jump-diffusion stochastic differential equations
• On the construction of non-affine jump-diffusion models

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