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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Autor Principal: Ratanov, Nikita
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: Taylor and Francis Inc. 2014
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/23337
https://doi.org/10.1080/07362994.2014.899914
id ir-10336-23337
recordtype dspace
spelling ir-10336-233372021-06-11T04:06:21Z Double Telegraph Processes and Complete Market Models Ratanov, Nikita Complete market models Doubly stochastic Poisson process Jump-telegraph process Markov flow Martingale 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 time when the intensity changes at random. Martingale measures for this type of processes are described by using Girsanov's transformation. The market model based on the doubly stochastic jump-telegraph process is studied. A class of complete models is also considered. 2014 © Taylor and Francis Group, LLC. 2014 2020-05-26T00:01:14Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion 15329356 07362994 https://repository.urosario.edu.co/handle/10336/23337 https://doi.org/10.1080/07362994.2014.899914 eng info:eu-repo/semantics/openAccess application/pdf Taylor and Francis Inc. instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR
institution EdocUR - Universidad del Rosario
collection DSpace
language Inglés (English)
topic Complete market models
Doubly stochastic Poisson process
Jump-telegraph process
Markov flow
Martingale
spellingShingle Complete market models
Doubly stochastic Poisson process
Jump-telegraph process
Markov flow
Martingale
Ratanov, Nikita
Double Telegraph Processes and Complete Market Models
description 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 time when the intensity changes at random. Martingale measures for this type of processes are described by using Girsanov's transformation. The market model based on the doubly stochastic jump-telegraph process is studied. A class of complete models is also considered. 2014 © Taylor and Francis Group, LLC.
format Artículo (Article)
author Ratanov, Nikita
author_facet Ratanov, Nikita
author_sort Ratanov, Nikita
title Double Telegraph Processes and Complete Market Models
title_short Double Telegraph Processes and Complete Market Models
title_full Double Telegraph Processes and Complete Market Models
title_fullStr Double Telegraph Processes and Complete Market Models
title_full_unstemmed Double Telegraph Processes and Complete Market Models
title_sort double telegraph processes and complete market models
publisher Taylor and Francis Inc.
publishDate 2014
url https://repository.urosario.edu.co/handle/10336/23337
https://doi.org/10.1080/07362994.2014.899914
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score 12,111491