Loading...
Search for:
non-vanishing-higher-order-kramers–moyal-coefficients
0.025 seconds
Stochastic processes with jumps and non-vanishing higher-order kramers–moyal coefficients
, Article Understanding Complex Systems ; 2019 , Pages 99-110 ; 18600832 (ISSN) ; Sharif University of Technology
Springer Verlag
2019
Abstract
In this chapter we study stochastic processes in the presence of jump discontinuity, and discuss the meaning of non-vanishing higher-order Kramers–Moyal coefficients. We describe in details the stochastic properties of Poisson jump processes. We derive the statistical moments of the Poisson process and the Kramers–Moyal coefficients for pure Poisson jump events. Growing evidence shows that continuous stochastic modeling (white noise-driven Langevin equation) of time series of complex systems should account for the presence of discontinuous jump components [1–6]. Such time series have some distinct important characteristics, such as heavy tails and occasionally sudden large jumps....
Stochastic processes with jumps and non-vanishing higher-order kramers–moyal coefficients
, Article Understanding Complex Systems ; 2019 , Pages 99-110 ; 18600832 (ISSN) ; Sharif University of Technology
Springer Verlag
2019
Abstract
In this chapter we study stochastic processes in the presence of jump discontinuity, and discuss the meaning of non-vanishing higher-order Kramers–Moyal coefficients. We describe in details the stochastic properties of Poisson jump processes. We derive the statistical moments of the Poisson process and the Kramers–Moyal coefficients for pure Poisson jump events. Growing evidence shows that continuous stochastic modeling (white noise-driven Langevin equation) of time series of complex systems should account for the presence of discontinuous jump components [1–6]. Such time series have some distinct important characteristics, such as heavy tails and occasionally sudden large jumps....