Fluctuations of Recurrent Processes and Their Applications to the Stock Market

DOI10.1081/SAP-120028023zbMath1037.91081MaRDI QIDQ4450715

Jewgeni H. Dshalalow

Publication date: 15 February 2004

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

mathematical financemarked renewal processesstock-price models

Mathematics Subject Classification ID

Mathematical economics (91B99) Probability theory and stochastic processes (60-XX)

Related Items (12)

On multivariate antagonistic marked point processes ⋮ Discrete versus continuous operational calculus in antagonistic stochastic games ⋮ On fluctuations of a multivariate random walk with some applications to stock options trading and hedging ⋮ Random Walk Analysis in Antagonistic Stochastic Games ⋮ On One-Sided Stochastic Games and Their Applications to Finance ⋮ Level crossings of an oscillating marked random walk ⋮ Random walk analysis of parallel queueing stations ⋮ On exit times of multivariate random walk with some applications to finance ⋮ Multilayers in a modulated stochastic game ⋮ On Exit Times of a Multivariate Random Walk and Its Embedding in a Quasi Poisson Process ⋮ Random observations of marked Cox processes. Time insensitive functionals ⋮ Time sensitive functionals of marked Cox processes

Cites Work

• On the level crossing of multi-dimensional delayed renewal processes

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