Almost Sure Convergence of Stochastic Differential Equations of Jump-Diffusion Type

1995 ◽  
pp. 187-197
Author(s):  
C. W. Li
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Almost Sure Convergence ◽  
Jump Diffusion ◽  
Diffusion Type

AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK

2021 ◽  
pp. 2150015
Author(s):  
CALISTO GUAMBE ◽  
LESEDI MABITSELA ◽  
RODWELL KUFAKUNESU
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Risk Measures ◽  
Risk Measure ◽  
Jump Diffusion ◽  
Backward Stochastic Differential Equations ◽  
Financial Position ◽  
Entropic Risk Measure ◽  
Risk Representation

We consider the representation of forward entropic risk measures using the theory of ergodic backward stochastic differential equations in a jump-diffusion framework. Our paper can be viewed as an extension of the work considered by Chong et al. (2019) in the diffusion case. We also study the behavior of a forward entropic risk measure under jumps when a financial position is held for a longer maturity.

Forecasting dirty tanker freight rate index by using stochastic differential equations

2018 ◽  
Vol 05 (04) ◽  
pp. 1850034 ◽  
Author(s):  
Hossein Jafari ◽  
Ghazaleh Rahimi
Keyword(s):  
Time Series ◽  
Differential Equations ◽  
Stochastic Model ◽  
Stochastic Differential Equations ◽  
Simulated Data ◽  
Jump Diffusion ◽  
Freight Rate ◽  
Time Series Models ◽  
Modeling And Forecasting

The accurate forecasting of freight rate index is one of the most important issues in shipping market. The continuous and jump-diffusion stochastic differential equations are used for modeling and forecasting of Baltic exchange Dirty Tanker Index (BDTI). Actual observations and simulated data are applied to estimate the best stochastic model. The comparison of forecasting between SDE methods and the ARIMA time series models show that SDE models have better accuracy than the time series techniques.

W-symmetries of jump-diffusion Itô stochastic differential equations

2017 ◽  
Vol 90 (4) ◽  
pp. 2869-2877 ◽  
Author(s):  
Aminu M. Nass ◽  
E. Fredericks
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Jump Diffusion

Markov Dilation of Diffusion Type Processes and its Application to the Financial Mathematics

1999 ◽  
Vol 6 (4) ◽  
pp. 363-378
Author(s):  
R. Tevzadze
Keyword(s):  
Differential Equations ◽  
Integral Representation ◽  
Stochastic Differential Equations ◽  
Markov Processes ◽  
Contingent Claim ◽  
Financial Mathematics ◽  
Diffusion Type ◽  
Replicating Portfolio ◽  
Infinitesimal Operators

Abstract The Markov dilation of diffusion type processes is defined. Infinitesimal operators and stochastic differential equations for the obtained Markov processes are described. Some applications to the integral representation for functionals of diffusion type processes and to the construction of a replicating portfolio for a non-terminal contingent claim are considered.

Sign in / Sign up

Export Citation Format

Share Document