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...

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Autor Principal: Ratanov, Nikita
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
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