Double Telegraph Processes and Complete Market Models
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Publication:2875516
DOI10.1080/07362994.2014.899914zbMath1311.60085MaRDI QIDQ2875516
Publication date: 8 August 2014
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2014.899914
Doob-Meyer decomposition; martingale; doubly stochastic Poisson process; jump-telegraph process; complete market models; Markov flow
60K99: Special processes
91G80: Financial applications of other theories
60J27: Continuous-time Markov processes on discrete state spaces
Related Items
Hypo-exponential distributions and compound Poisson processes with alternating parameters, First crossing times of telegraph processes with jumps
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