Double Telegraph Processes and Complete Market Models
The traditional jump-telegraph processes are based on a Poisson process with alternating intensities. We develop a new model based on an alternating doubly stochastic Poisson process with random intensities of jumps. Moreover, in this model the jump-telegraph process performs additional jumps each t...
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| Formato: | Artículo (Article) |
| Lenguaje: | Inglés (English) |
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Taylor and Francis Inc.
2014
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| Acceso en línea: | https://repository.urosario.edu.co/handle/10336/23337 https://doi.org/10.1080/07362994.2014.899914 |