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Nonparametric Estimation of Second-Order Jump-Diffusion Model
Second-order jump-diffusion N-W estimator Weak consistency
2011/7/6
We study the nonparametric estimators of the infinitesimal coefficients of the second-order jump-diffusion models. Under the mild conditions, we obtain the weak consistency and the asymptotic normalit...
On first-passage times for one-dimensional jump-diffusion processes
Jump-diffusion process exit probability first-crossing time
2009/9/22
Some problems of first-crossing times over two time-
-dependent boundaries lor one-dimensional jump-difiusion processes
are considered. The moments of the first-crossing times over each
boundary ar...
A general stochastic target problem with jump diffusion and an application to a hedging problem for large investors
stochastic target problem jump diffusion hedging problem large investors
2009/3/23
Let Z(t,z) be a Rd-valued controlled jump diffusion starting from the point z at time t. The aim of this paper is to characterize the set V(t) of initial conditions z such that Z(t,z) can be driven in...