A detection algorithm for the first jump time in sample trajectories of jump-diffusions driven by α-stable white noise. Issue 19 (2nd October 2019)

• Record Type: Journal Article
• Authors: Song, Jiao; Wu, Jiang-Lun
• Is Part Of: Communications in statistics. Volume 48:Issue 19(2019)
• Page Start: 4888
• Page End: 4902
• Publication Date: 2019-10-02
• Subjects: α-stable processes -- stochastic differential equations -- simulation -- multivariate Lagrange interpolation; 65C99 -- 68U20 -- 60E07 -- 60G17; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2018.1500602
• Languages: English
• ISSNs: 0361-0926

Abstract

Abstract: The purpose of this paper is to develop a detection algorithm for the first jump point in sampling trajectories of jump-diffusions which are described as solutions of stochastic differential equations driven by α -stable white noise. This is done by a multivariate Lagrange interpolation approach. To this end, we utilize computer simulation algorithm in MATLAB to visualize the sampling trajectories of the jump-diffusions for various combinations of parameters arising in the modeling structure of stochastic differential equations.