On the Existence and Application of Continuous-Time Threshold Autoregressions of Order Two

DOI10.2307/1427867MaRDI QIDQ4339347zbMATH OpenOpenAlexFDO

Authors R. J. Williams, Peter J. Brockwell

Publication date 18 February 1998

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1427867

zbMATH Keywords

nonlinear time seriesstochastic differential equationdegenerate diffusionmartingale problemthreshold autoregressionCameron-Martin-Girsanov formularandom time-change

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Transition functions, generators and resolvents (60J35)

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