اشترك بالحزمة الذهبية واحصل على وصول غير محدود شمرا أكاديميا
تسجيل مستخدم جديدDensity estimates for jump diffusion processes
183
0
0.0
(
0
)
اسأل ChatGPT حول البحث
ﻻ يوجد ملخص باللغة العربية
We consider a real-valued diffusion process with a linear jump term driven by a Poisson point process and we assume that the jump amplitudes have a centered density with finite moments. We show upper and lower estimates for the density of the solution in the case that the jump amplitudes follow a Gaussian or Laplacian law. The proof of the lower bound uses a general expression for the density of the solution in terms of the convolution of the density of the continuous part and the jump amplitude density. The upper bound uses an upper tail estimate in terms of the jump amplitude distribution and techniques of the Malliavin calculus in order to bound the density by the tails of the solution. We also extend the lower bounds to the multidimensional case.
قيم البحث
اقرأ أيضاً
We aim at estimating the invariant density associated to a stochastic differential equation with jumps in low dimension, which is for $d=1$ and $d=2$. We consider a class of jump diffusion processes whose invariant density belongs to some Holder spac
e. Firstly, in dimension one, we show that the kernel density estimator achieves the convergence rate $frac{1}{T}$, which is the optimal rate in the absence of jumps. This improves the convergence rate obtained in [Amorino, Gloter (2021)], which depends on the Blumenthal-Getoor index for $d=1$ and is equal to $frac{log T}{T}$ for $d=2$. Secondly, we show that is not possible to find an estimator with faster rates of estimation. Indeed, we get some lower bounds with the same rates ${frac{1}{T},frac{log T}{T}}$ in the mono and bi-dimensional cases, respectively. Finally, we obtain the asymptotic normality of the estimator in the one-dimensional case.
This paper describes the structure of solutions to Kolmogorovs equations for nonhomogeneous jump Markov processes and applications of these results to control of jump stochastic systems. These equations were studied by Feller (1940), who clarified in
1945 in the errata to that paper that some of its results covered only nonexplosive Markov processes. We present the results for possibly explosive Markov processes. The paper is based on the invited talk presented by the authors at the International Conference dedicated to the 200th anniversary of the birth of P. L.~Chebyshev.
We describe stochastic calculus in the context of processes that are driven by an adapted point process of locally finite intensity and are differentiable between jumps. This includes Markov chains as well as non-Markov processes. By analogy with It^
o processes we define the drift and diffusivity, which we then use to describe a general sample path estimate. We then give several examples, including ODE approximation, processes with linear drift, first passage times, and an application to the stochastic logistic model.
A binary renewal process is a stochastic process ${X_n}$ taking values in ${0,1}$ where the lengths of the runs of 1s between successive zeros are independent. After observing ${X_0,X_1,...,X_n}$ one would like to predict the future behavior, and the
problem of universal estimators is to do so without any prior knowledge of the distribution. We prove a variety of results of this type, including universal estimates for the expected time to renewal as well as estimates for the conditional distribution of the time to renewal. Some of our results require a moment condition on the time to renewal and we show by an explicit construction how some moment condition is necessary.
We develop the theory of strong stationary duality for diffusion processes on compact intervals. We analytically derive the generator and boundary behavior of the dual process and recover a central tenet of the classical Markov chain theory in the di
ffusion setting by linking the separation distance in the primal diffusion to the absorption time in the dual diffusion. We also exhibit our strong stationary dual as the natural limiting process of the strong stationary dual sequence of a well chosen sequence of approximating birth-and-death Markov chains, allowing for simultaneous numerical simulations of our primal and dual diffusion processes. Lastly, we show how our new definition of diffusion duality allows the spectral theory of cutoff phenomena to extend naturally from birth-and-death Markov chains to the present diffusion context.
سجل دخول لتتمكن من نشر تعليقات
التعليقات
جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
