Damped jump-telegraph processes

DOI10.1016/j.spl.2013.06.018zbMath1295.60088arXiv1303.2796OpenAlexW2004213947MaRDI QIDQ2435750

Nikita E. Ratanov

Publication date: 19 February 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.2796

zbMATH Keywords

martingale measureVolterra equationinhomogeneous jump-telegraph process

Mathematics Subject Classification ID

Special processes (60K99) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items

Large deviations for some non-standard telegraph processes ⋮ Some results on the telegraph process driven by gamma components ⋮ First crossing times of telegraph processes with jumps ⋮ Hypo-exponential distributions and compound Poisson processes with alternating parameters ⋮ Telegraph processes with random jumps and complete market models ⋮ On a jump-telegraph process driven by an alternating fractional Poisson process ⋮ Double Telegraph Processes and Complete Market Models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the generalized telegraph process with deterministic jumps
• On random motions with velocities alternating at Erlang-distributed random times
• Option Pricing Driven by a Telegraph Process with Random Jumps
• A Damped Telegraph Random Process with Logistic Stationary Distribution
• Telegraph processes with random velocities
• First-exit times for increasing compound processes
• Generalized integrated telegraph processes and the distribution of related stopping times
• A jump telegraph model for option pricing