Differential and integral equations for jump random motions

DOI10.1090/TPMS/1123zbMATH Open1455.60121OpenAlexW3120746931WikidataQ115280731 ScholiaQ115280731MaRDI QIDQ3387883FDOQ3387883

A. O. Pogorui, Ramón M. Rodríguez-Dagnino

Publication date: 8 January 2021

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/1123

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zbMATH Keywords

Erlang distributiontelegraph equationtelegraph processsemi-Markov processesrandom evolutions

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Jump processes on general state spaces (60J76)

Cites Work

• On random motions with velocities alternating at Erlang-distributed random times
• Telegraph processes and option pricing
• Title not available (Why is that?)
• Generalized Telegraph Process with Random Jumps
• Random flights governed by Klein-Gordon-type partial differential equations
• A jump telegraph model for option pricing
• Option pricing model based on a Markov-modulated diffusion with jumps
• One-dimensional semi-Markov evolutions with general Erlang sojourn times
• A family of random walks with generalized Dirichlet steps
• On random flights with non-uniformly distributed directions
• Random motion with uniformly distributed directions and random velocity
• On the generalized telegraph process with deterministic jumps
• Option Pricing Driven by a Telegraph Process with Random Jumps
• On financial markets based on telegraph processes
• On a jump-telegraph process driven by an alternating fractional Poisson process
• Run-and-tumble particles, telegrapher’s equation and absorption problems with partially reflecting boundaries

Cited In (2)

• Title not available (Why is that?)
• High-order Kolmogorov differential system of equations for two-parameter jump process

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