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arXiv · 1707.02127

Critical link of self-similarity and visualisation for jump-diffusions driven by $\alpha$-stable noise

Jiao Song·Jiang-lun Wu
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Abstract

The purpose of this paper is to derive a critical link of parameters for the self-similar trajectories of jump-diffusions which are described as solutions of stochastic differential equations driven by $\alpha$-stable noise. This is done by a multivariate Lagrange interpolation approach. To this end, we utilise computer simulation algorithm in MATLAB to visualise the trajectories of the jump-diffusions for various combinations of parameters arising in the stochastic differential equations.

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Jiao Song, Jiang-lun Wu. 2017-07-07. Critical link of self-similarity and visualisation for jump-diffusions driven by $\alpha$-stable noise. https://arxiv.org/abs/1707.02127

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