Basic affine jump diffusion
id:
basic-affine-jump-diffusion-195-4578166
title:
Basic affine jump diffusion
text:
In mathematics probability theory, a basic affine jump diffusion is a stochastic process Z of the form where B is a standard Brownian motion, and J is an independent compound Poisson process with constant jump intensity l and independent exponentially distributed jumps with mean μ . For the process to be well defined, it is necessary that κ θ ≥ 0 and μ ≥ 0 . A basic AJD is a special case of an affine process and of a jump diffusion. On the other hand, the Cox–Ingersoll–Ross (CIR) process is a sp
brand slug:
wiki
category slug:
encyclopedia
description:
Stochastic process
original url:
https://en.wikipedia.org/wiki/Basic_affine_jump_diffusion
date created:
date modified:
2022-08-02T05:03:53Z
main entity:
{"identifier":"Q4867017","url":"https://www.wikidata.org/entity/Q4867017"}
image:
fields total:
13
integrity:
14