Level crossings of an oscillating marked random walk

DOI10.1016/J.CAMWA.2006.04.016zbMath1125.60091OpenAlexW2016586635MaRDI QIDQ2458511

Jewgeni H. Dshalalow, Agatha Liew

Publication date: 1 November 2007

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2006.04.016

zbMATH Keywords

stock marketrandom walkPoisson processfirst passage timeexit timerenewal processfluctuation theorycomputer networksfirst excess levelrecurrent process

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Related Items (4)

On multivariate antagonistic marked point processes ⋮ On fluctuations of a multivariate random walk with some applications to stock options trading and hedging ⋮ Random Walk Analysis in Antagonistic Stochastic Games ⋮ Multilayers in a modulated stochastic game

Cites Work

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• Fluctuation theory in continuous time
• Fluctuations of Recurrent Processes and Their Applications to the Stock Market
• On Exit Times of a Multivariate Random Walk and Its Embedding in a Quasi Poisson Process

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