On piecewise linear processes

DOI10.1016/J.SPL.2014.03.015MaRDI QIDQ2453922zbMATH OpenOpenAlexFDO

Authors Nikita Ratanov

Publication date 11 June 2014

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

Full work available at URL https://doi.org/10.1016/j.spl.2014.03.015

zbMATH Keywords

martingalesErlang distributionfinancial modellingpiecewise linear processpiecewise constant process

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 425394 (Why is no real title available?)
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• scientific article; zbMATH DE number 3901778 (Why is no real title available?)
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• A damped telegraph random process with logistic stationary distribution
• A jump telegraph model for option pricing
• Average continuous control of piecewise deterministic Markov processes
• Impulse control of piecewise-deterministic processes
• Numerical method for impulse control of piecewise deterministic Markov processes
• On the damped geometric telegrapher's process
• Point process theory and applications. Marked point and picewise deterministic processes.
• Telegraph processes and option pricing

Cited in

(6)

• Piecewise linear process with renewal starting points
• scientific article; zbMATH DE number 4128265 (Why is no real title available?)
• Self-exciting piecewise linear processes
• scientific article; zbMATH DE number 3131444 (Why is no real title available?)
• Closure of linear processes
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