Telegraph Processes with Random Jumps and Complete Market Models
We propose a new generalisation of jump-telegraph process with variable velocities and jumps. Amplitude of the jumps and velocity values are random, and they depend on the time spent by the process in the previous state of the underlying Markov process. This construction is applied to markets modell...
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| Formato: | Artículo (Article) |
| Lenguaje: | Inglés (English) |
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Kluwer Academic Publishers
2015
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| Acceso en línea: | https://repository.urosario.edu.co/handle/10336/22586 https://doi.org/10.1007/s11009-013-9388-x |