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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Detalles Bibliográficos
Autor Principal: Ratanov, Nikita
Otros Autores: Facultad de Economía
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2017
Acceso en línea: