Markov jump process
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Markov switching multifractal — In financial econometrics, the Markov switching multifractal (MSM) is a model of asset returns that incorporates stochastic volatility components of heterogeneous durations.[1][2] MSM captures the outliers, log memory like volatility persistence… … Wikipedia
Continuous-time Markov process — In probability theory, a continuous time Markov process is a stochastic process { X(t) : t ≥ 0 } that satisfies the Markov property and takes values from a set called the state space; it is the continuous time version of a Markov chain. The… … Wikipedia
Semi-Markov process — A continuous time stochastic process is called a semi Markov process or Markov renewal process if the embedded jump chain (the discrete process registering what values the process takes) is a Markov chain, and where the holding times (time… … Wikipedia
Diffusion process — For the marketing term, see Diffusion of innovations. In probability theory, a branch of mathematics, a diffusion process is a solution to a stochastic differential equation. It is a continuous time Markov process with continuous sample paths. A… … Wikipedia
Martingale representation theorem — In probability theory, the martingale representation theorem states that a random variable which is measurable with respect to the filtration generated by a Brownian motion can be written in terms of an Itô integral with respect to this Brownian… … Wikipedia
Semimartingale — In probability theory, a real valued process X is called a semimartingale if it can be decomposed as the sum of a local martingale and an adapted finite variation process.Semimartingales are good integrators , forming the largest class of… … Wikipedia
Outline of finance — The following outline is provided as an overview of and topical guide to finance: Finance – addresses the ways in which individuals, businesses and organizations raise, allocate and use monetary resources over time, taking into account the risks… … Wikipedia
Renewal theory — is the branch of probability theory that generalizes Poisson processes for arbitrary holding times . Applications include calculating the expected time for a monkey who is randomly tapping at a keyboard to type the word Macbeth and comparing the… … Wikipedia
Kalman filter — Roles of the variables in the Kalman filter. (Larger image here) In statistics, the Kalman filter is a mathematical method named after Rudolf E. Kálmán. Its purpose is to use measurements observed over time, containing noise (random variations)… … Wikipedia
Chapman–Kolmogorov equation — In mathematics, specifically in probability theory and in particular the theory of Markovian stochastic processes, the Chapman–Kolmogorov equation is an identity relating the joint probability distributions of different sets of coordinates on a… … Wikipedia
