A detection algorithm for the first jump time in sample trajectories of jump-diffusions driven byα-stable white noise

DOI10.1080/03610926.2018.1500602OpenAlexW2866688785MaRDI QIDQ5076944

Jiang-Lun Wu, Jiao Song

Publication date: 17 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://cronfa.swan.ac.uk/Record/cronfa40957

zbMATH Keywords

simulationstochastic differential equations\(\alpha\)-stable processesmultivariate Lagrange interpolation

Mathematics Subject Classification ID

Related Items (1)

First jump time in simulation of sampling trajectories of affine jump-diffusions driven by \(\alpha\)-stable white noise

Cites Work

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