A detection algorithm for the first jump time in sample trajectories of jump-diffusions driven by α-stable white noise

Jiao Song and Jiang-Lun Wu

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 19, 4888-4902

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.

Date: 2019
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DOI: 10.1080/03610926.2018.1500602

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