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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Detalles Bibliográficos
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

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