Self-exciting piecewise linear processes
The paper concerns a piecewise linear process controlled by the set of velocities {cn}n≥0 consecutively switched after exponentially distributed, Exp(λn), n ≥ 0, time intervals. The distribution of such process is studied in detail, including the distribution of the first passage time through the...
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| Formato: | Artículo (Article) |
| Lenguaje: | Inglés (English) |
| Publicado: |
2017
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| Acceso en línea: | http://repository.urosario.edu.co/handle/10336/14351 |