Year: 2016
Type: preprint
Abstract: We describe stochastic calculus in the context of processes that are driven by an adapted point process of locally finite intensity and are differentiable between jumps. This includes Markov chains as well as non-Markov processes. By analogy with Itô processes we define the drift and diffusivity, which we then use to describe a general sample path estimate. We then give several examples, including ODE approximation, processes with linear drift, first passage times, and an application to the stochastic logistic model.
Source: arXiv (Cornell University)
Author: Foxall, Eric
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2501428344