Jump-diffusion stochastic processes with Maple - Maple Application Center
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Jump-diffusion stochastic processes with Maple

Author
: Igor Hlivka
Engineering software solutions from Maplesoft
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The application presents and definition, creation and handling of jump-diffusion processes. In general, jump-diffusion is an extension to the theory of stochastic processes where the underlying parameters exhibit shocks and "jump" to their new values. Stochasticity with jumps is well recognised in several scientific branches including physics, chemistry, biology, but also economic and finance. The application looks at the example of the last-mentioned fields where the theory of jump-diffusions has been particularly actively researched and applied.

Application Details

Publish Date: March 08, 2014
Created In: Maple 17
Language: English

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