تقرير
Markovian projections for It\^o semimartingales with jumps
| العنوان: | Markovian projections for It\^o semimartingales with jumps |
|---|---|
| المؤلفون: | Larsson, Martin, Long, Shukun |
| سنة النشر: | 2024 |
| المجموعة: | Mathematics Quantitative Finance |
| مصطلحات موضوعية: | Mathematics - Probability, Quantitative Finance - Mathematical Finance |
| الوصف: | Given a general It\^o semimartingale, its Markovian projection is an It\^o process, with Markovian differential characteristics, that matches the one-dimensional marginal laws of the original process. We construct Markovian projections for It\^o 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. |
| نوع الوثيقة: | Working Paper |
| الوصول الحر: | http://arxiv.org/abs/2403.15980Test |
| رقم الانضمام: | edsarx.2403.15980 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |