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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Detalles Bibliográficos
Autor Principal: Ratanov, Nikita
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: Kluwer Academic Publishers 2015
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/22586
https://doi.org/10.1007/s11009-013-9388-x

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