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Two-Dimensional (bivariate) jump-diffusion processes

Rahimi Tabar, M. R ; Sharif University of Technology | 2019

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  1. Type of Document: Article
  2. DOI: 10.1007/978-3-030-18472-8_13
  3. Publisher: Springer Verlag , 2019
  4. Abstract:
  5. In this chapter we provide a generalization of jump-diffusion precesses (12.1) in two dimensions by considering a class of coupled systems that are described by a bivariate state vector x(t) contained in a two-dimensional state space {x}. The evolution of the state vector x(t) is assumed to be governed by a deterministic part to which diffusion parts and jump contributions are added. Generalization of the results to higher dimensions is straightforward. We note that for N multivariate time series, by assuming the presence of two-body type of interactions between time series, the analysis will reduce to analysing N(N − 1)/2 pairwise bivariate time series. © 2019, Springer Nature Switzerland AG
  6. Keywords:
  7. Bivariate jump-diffusion precesses ; Bivariate state vector
  8. Source: Understanding Complex Systems ; 2019 , Pages 123-128 ; 18600832 (ISSN)
  9. URL: https://link.springer.com/chapter/10.1007/978-3-030-18472-8_13