Kac's rescaling for jump-telegraph processes

We present limit theorems for an asymmetric telegraph process with drift and jumps under different rescaling conditions. The explicit formulae for the related characteristic functions are derived by solving a Cauchy problem for the respective hyperbolic system. © 2012 Elsevier B.V.

Detalles Bibliográficos
Autores Principales: López, Oscar, Ratanov, Nikita
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2012
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/23334
https://doi.org/10.1016/j.spl.2012.05.024
Descripción
Sumario:We present limit theorems for an asymmetric telegraph process with drift and jumps under different rescaling conditions. The explicit formulae for the related characteristic functions are derived by solving a Cauchy problem for the respective hyperbolic system. © 2012 Elsevier B.V.