![]() Due to their computational tractability, the special case of a basic affine jump diffusion is popular for some credit risk and short-rate models. Jump-diffusion models have been introduced by Robert C. In option pricing, a jump-diffusion model is a form of mixture model, mixing a jump process and a diffusion process. Hall, Ross 1981: jump diffusion within a restricted volume.Sears 1966, 1967: jump diffusion of rotational degrees of freedom.Chudley, Elliott 1961: jumps on a lattice.Singwi, Sjölander 1960: alternation between oscillatory motion and directed motion.Closed expressions for the autocorrelation function have been derived for several jump(-diffusion) models: Jump diffusion can be studied on a microscopic scale by inelastic neutron scattering and by Mößbauer spectroscopy. On time and length scales that average over many single jumps, the net motion of the jumping atoms can be described as regular diffusion. In crystals, atomic diffusion typically consists of jumps between vacant lattice sites. It has important applications in magnetic reconnection, coronal mass ejections, condensed matter physics, option pricing, and pattern theory and computational vision. Jump diffusion is a stochastic process that involves jumps and diffusion.
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