Differential and integral equations for jump random motions

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

Authors 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

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)

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Cites work

• scientific article; zbMATH DE number 1509412 (Why is no real title available?)
• A family of random walks with generalized Dirichlet steps
• A jump telegraph model for option pricing
• Generalized Telegraph Process with Random Jumps
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• On financial markets based on telegraph processes
• On random flights with non-uniformly distributed directions
• On random motions with velocities alternating at Erlang-distributed random times
• On the generalized telegraph process with deterministic jumps
• One-dimensional semi-Markov evolutions with general Erlang sojourn times
• Option pricing driven by a telegraph process with random jumps
• Option pricing model based on a Markov-modulated diffusion with jumps
• Random flights governed by Klein-Gordon-type partial differential equations
• Random motion with uniformly distributed directions and random velocity
• Run-and-tumble particles, telegrapher's equation and absorption problems with partially reflecting boundaries
• Telegraph processes and option pricing

Cited in

(5)

• scientific article; zbMATH DE number 2196022 (Why is no real title available?)
• Random motion with gamma steps in higher dimensions
• The distribution of random motion in semi-Markov media
• High-order Kolmogorov differential system of equations for two-parameter jump process
• Goldstein-Kac telegraph equations and random flights in higher dimensions

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