Point Processes and Jump Diffusions
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Publication:4986963
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Actuarial science and mathematical finance (91Gxx) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Jump processes on discrete state spaces (60J74)
Recommendations
- Jump diffusion processes and their applications in insurance and finance
- Malliavin Calculus for Pure Jump Processes and Applications to Finance
- A hyper-Erlang jump-diffusion process and applications in finance
- scientific article; zbMATH DE number 868151
- Diffusion processes, jump processes, and stochastic differential equations
- Diffusion approximation of Lévy processes with a view towards finance
- On multidimensional diffusion processes with jumps
- Absolutely Continuous Laws of Jump-Diffusions in Finite and Infinite Dimensions with Applications to Mathematical Finance
- Dilated Poisson processes and their applications in finance
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(6)- Real time analysis of signed marked random measures with applications to finance and insurance
- Filtered likelihood for point processes
- Global density equations for interacting particle systems with stochastic resetting: from overdamped Brownian motion to phase synchronization
- In memoriam: Tomas Björk (1947--2021). On his career and beyond
- Generalized Itô's lemma and the stochastic thermodynamics of diffusion with resetting
- Point process theory and applications. Marked point and picewise deterministic processes.
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