On the Existence and Application of Continuous-Time Threshold Autoregressions of Order Two
DOI10.2307/1427867zbMATH Open0882.60079OpenAlexW2318351345MaRDI QIDQ4339347FDOQ4339347
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
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nonlinear time seriesstochastic differential equationdegenerate diffusionmartingale problemthreshold autoregressionCameron-Martin-Girsanov formularandom time-change
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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