Search results for "Jump process"
showing 9 items of 9 documents
A Criterium for the Strict Positivity of the Density of the Law of a Poisson Process
2011
We translate in semigroup theory our result (Leandre, 1990) giving a necessary condition so that the law of a Markov process with jumps could have a strictly positive density. This result express, that we have to jump in a finite number of jumps in a "submersive" way from the starting point to the end point if the density of the jump process is strictly positive in . We use the Malliavin Calculus of Bismut type of (Leandre, (2008;2010)) translated in semi-group theory as a tool, and the interpretation in semi-group theory of some classical results of the stochastic analysis for Poisson process as, for instance, the formula giving the law of a compound Poisson process.
Qualitative Analysis of Differential, Difference Equations, and Dynamic Equations on Time Scales
2015
and Applied Analysis 3 thank Guest Editors Josef Dibĺik, Alexander Domoshnitsky, Yuriy V. Rogovchenko, Felix Sadyrbaev, and Qi-Ru Wang for their unfailing support with editorial work that ensured timely preparation of this special edition. Tongxing Li Josef Dibĺik Alexander Domoshnitsky Yuriy V. Rogovchenko Felix Sadyrbaev Qi-Ru Wang
Fault detection for discrete-time Markov jump linear systems with partially known transition probabilities
2010
In this article, the fault detection (FD) problem for a class of discrete-time Markov jump linear system (MJLS) with partially known transition probabilities is investigated. The proposed systems are more general, which relax the traditional assumption in Markov jump systems that all the transition probabilities must be completely known. A residual generator is constructed and the corresponding FD is formulated as an H ∞ filtering problem by which the error between residual and fault are minimised in the H ∞ sense. The linear matrix inequality-based sufficient conditions for the existence of FD filter are derived. A numerical example on a multiplier–accelerator model economic system is give…
Finite-time boundedness for uncertain discrete neural networks with time-delays and Markovian jumps
2014
This paper is concerned with stochastic finite-time boundedness analysis for a class of uncertain discrete-time neural networks with Markovian jump parameters and time-delays. The concepts of stochastic finite-time stability and stochastic finite-time boundedness are first given for neural networks. Then, applying the Lyapunov approach and the linear matrix inequality technique, sufficient criteria on stochastic finite-time boundedness are provided for the class of nominal or uncertain discrete-time neural networks with Markovian jump parameters and time-delays. It is shown that the derived conditions are characterized in terms of the solution to these linear matrix inequalities. Finally, n…
Impact of Stock Price Jumps on Option Values
1999
Many empirical papers document the fact that the distribution of stock returns exhibits fatter tails than would be expected from a normal distribution. This might explain some of the pricing biases of the Black/Scholes model, which is] based on a normal return distribution. Given this result, alternative option pricing models should be based on one of the following three classes of return models: (1) a stationary process, such as a paretian stable or a student’s t-distribution, (2) a mixture of stationary distributions, such as two normal distributions with different means or variances, or a mixture of a diflusion and a pure jump process, or (3) a distribution such as a normal distribution …
Unmixing of binary alloys by a vacancy mechanism of diffusion: a computer simulation
1991
The initial stages of phase separation are studied for a model binary alloy (AB) with pairwise interactions e AA , e AB , e BB between nearest neighbors, assuming that there is no direct interchange of neighboring atoms possible, but only an indirect one mediated by vacancies (V) occurring in the system at a concentrationc v and which are strictly conserved, as are the concentrationsc A andc B of the two species.A-atoms may jump to vacant sites with jump rateГ A , B-atoms with jump rateГ B (in the absence of interactions). Particular attention is paid to the question to what extent nonuniform distribution of vacancies affects the unmixing kinetics. Our study focuses on the special caseГ A =…
Geometry and time scale of the rotational dynamics in supercooled toluene
1998
Multidimensional deuteron NMR provides powerful tools for studying molecular reorientation in supercooled liquids. We present results on selectively deuterated toluene-${d}_{5},$ which may be one of the molecularly most simple van der Waals glass formers. From two-time correlation functions the time scale of reorientation was obtained slightly above the calorimetric glass transition temperature. The applied stimulated echo method provides a geometry parameter that, in analogy to $q$-dependent scattering experiments, allows one to investigate the geometry of the elementary rotational process. Continuous time random walk computer simulations were used for the interpretation of the data. It is…
Malliavin Calculus of Bismut Type for Fractional Powers of Laplacians in Semi-Group Theory
2011
We translate into the language of semi-group theory Bismut's Calculus on boundary processes (Bismut (1983), Lèandre (1989)) which gives regularity result on the heat kernel associated with fractional powers of degenerated Laplacian. We translate into the language of semi-group theory the marriage of Bismut (1983) between the Malliavin Calculus of Bismut type on the underlying diffusion process and the Malliavin Calculus of Bismut type on the subordinator which is a jump process.
On the derivation of a linear Boltzmann equation from a periodic lattice gas
2004
We consider the problem of deriving the linear Boltzmann equation from the Lorentz process with hard spheres obstacles. In a suitable limit (the Boltzmann-Grad limit), it has been proved that the linear Boltzmann equation can be obtained when the position of obstacles are Poisson distributed, while the validation fails, also for the "correct" ratio between obstacle size and lattice parameter, when they are distributed on a purely periodic lattice, because of the existence of very long free trajectories. Here we validate the linear Boltzmann equation, in the limit when the scatterer's radius epsilon vanishes, for a family of Lorentz processes such that the obstacles have a random distributio…