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ENDOGENOUS DOWNWARD JUMP DIFFUSION AND BLOW UP PHENOMENA BEFORE CRASH
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 Title & Authors
ENDOGENOUS DOWNWARD JUMP DIFFUSION AND BLOW UP PHENOMENA BEFORE CRASH
Kwon, Young-Mee; Jeon, In-Tae; Kang, Hye-Jeong;
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 Abstract
We consider jump processes which has only downward jumps with size a fixed fraction of the current process. The jumps of the pro cesses are interpreted as crashes and we assume that the jump intensity is a nondecreasing function of the current process say (X) (X = X(t) process). For the case of (X) = , > 0, we show that the process X shold explode in finite time, say , conditional on no crash For the case of (X) = (lnX), we show that = 1 is the borderline of two different classes of processes. We generalize the model by adding a Brownian noise and examine the blow up properties of the sample paths.
 Keywords
crash;explosion;jump diffusion;
 Language
English
 Cited by
 References
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