Markovian projections for Itô semimartingales with jumps
Fuente:
arXiv
Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2024
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866910380047990784 |
|---|---|
| author | Larsson, Martin Long, Shukun |
| author_facet | Larsson, Martin Long, Shukun |
| contents | Given a general Itô semimartingale, its Markovian projection is an Itô process, with Markovian differential characteristics, that matches the one-dimensional marginal laws of the original process. We construct Markovian projections for Itô semimartingales with jumps, whose flows of one-dimensional marginal laws are solutions to non-local Fokker--Planck--Kolmogorov equations (FPKEs). As an application, we show how Markovian projections appear in building calibrated diffusion/jump models with both local and stochastic features. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_15980 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Markovian projections for Itô semimartingales with jumps Larsson, Martin Long, Shukun Probability Mathematical Finance Given a general Itô semimartingale, its Markovian projection is an Itô process, with Markovian differential characteristics, that matches the one-dimensional marginal laws of the original process. We construct Markovian projections for Itô semimartingales with jumps, whose flows of one-dimensional marginal laws are solutions to non-local Fokker--Planck--Kolmogorov equations (FPKEs). As an application, we show how Markovian projections appear in building calibrated diffusion/jump models with both local and stochastic features. |
| title | Markovian projections for Itô semimartingales with jumps |
| topic | Probability Mathematical Finance |
| url | https://arxiv.org/abs/2403.15980 |