Damped jump-telegraph processes

DOI10.1016/J.SPL.2013.06.018MaRDI QIDQ2435750zbMATH OpenOpenAlexFDO

Authors Nikita 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

inhomogeneous jump-telegraph processmartingale measureVolterra equation

Mathematics Subject Classification ID

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

Abstract: We study a one-dimensional Markov modulated random walk with jumps. It is assumed that amplitudes of jumps as well as a chosen velocity regime are random and depend on a time spent by the process at a previous state of the underlying Markov process. Equations for the distribution and equations for its moments are derived. We characterise the martingale distributions in terms of observable proportions between jump and velocity regimes.

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Cites work

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Cited in

(9)

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

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