Damped jump-telegraph processes
We study a one-dimensional Markov modulated random walk with jumps. It is assumed that the amplitudes of the jumps as well as the chosen velocity regime are random, and depend on the time spent by the process at the previous state of the underlying Markov process.Equations for the distribution and e...
| Autor Principal: | |
|---|---|
| Formato: | Artículo (Article) |
| Lenguaje: | Inglés (English) |
| Publicado: |
2013
|
| Materias: | |
| Acceso en línea: | https://repository.urosario.edu.co/handle/10336/23335 https://doi.org/10.1016/j.spl.2013.06.018 |
| id |
ir-10336-23335 |
|---|---|
| recordtype |
dspace |
| spelling |
ir-10336-233352021-06-11T03:58:31Z Damped jump-telegraph processes Ratanov, Nikita Inhomogeneous jump-telegraph process Martingale measure Volterra equation We study a one-dimensional Markov modulated random walk with jumps. It is assumed that the amplitudes of the jumps as well as the chosen velocity regime are random, and depend on the time spent by the process at the previous state of the underlying Markov process.Equations for the distribution and equations for its moments are derived. We characterise the martingale distributions in terms of observable proportions between the jump and velocity regimes. © 2013 Elsevier B.V. 2013 2020-05-26T00:01:14Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion 1677152 https://repository.urosario.edu.co/handle/10336/23335 https://doi.org/10.1016/j.spl.2013.06.018 eng info:eu-repo/semantics/openAccess application/pdf instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR |
| institution |
EdocUR - Universidad del Rosario |
| collection |
DSpace |
| language |
Inglés (English) |
| topic |
Inhomogeneous jump-telegraph process Martingale measure Volterra equation |
| spellingShingle |
Inhomogeneous jump-telegraph process Martingale measure Volterra equation Ratanov, Nikita Damped jump-telegraph processes |
| description |
We study a one-dimensional Markov modulated random walk with jumps. It is assumed that the amplitudes of the jumps as well as the chosen velocity regime are random, and depend on the time spent by the process at the previous state of the underlying Markov process.Equations for the distribution and equations for its moments are derived. We characterise the martingale distributions in terms of observable proportions between the jump and velocity regimes. © 2013 Elsevier B.V. |
| format |
Artículo (Article) |
| author |
Ratanov, Nikita |
| author_facet |
Ratanov, Nikita |
| author_sort |
Ratanov, Nikita |
| title |
Damped jump-telegraph processes |
| title_short |
Damped jump-telegraph processes |
| title_full |
Damped jump-telegraph processes |
| title_fullStr |
Damped jump-telegraph processes |
| title_full_unstemmed |
Damped jump-telegraph processes |
| title_sort |
damped jump-telegraph processes |
| publishDate |
2013 |
| url |
https://repository.urosario.edu.co/handle/10336/23335 https://doi.org/10.1016/j.spl.2013.06.018 |
| _version_ |
1702626587080392704 |
| score |
12,111491 |