On prices' evolutions based on geometric telegrapher's process

DOI10.1002/asmb.456zbMath1011.91041MaRDI QIDQ4797841

Franco Pellerey, Antonio Di Crescenzo

Publication date: 9 March 2003

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.456

zbMATH Keywords

usual stochastic order; price process; telegrapher's process; Erlang disribution

Mathematics Subject Classification ID

Related Items

Generalized integrated telegraph processes and the distribution of related stopping times, Certain functionals of squared telegraph processes, On the distribution of the maximum of the telegraph process, Option pricing under a jump-telegraph diffusion model with jumps of random size, Unnamed Item, Generalized Telegraph Process with Random Jumps, Branching random motions, nonlinear hyperbolic systems and travellind waves, A jump telegraph model for option pricing, On estimation for Brownian motion governed by telegraph process with multiple off states, Transport processes with random jump rate, Telegraph processes with random jumps and complete market models, Parametric estimation for the standard and geometric telegraph process observed at discrete times, A link between wave governed random motions and ruin processes, Large deviation principles for telegraph processes, Option pricing model based on a Markov-modulated diffusion with jumps, On the generalized telegraph process with deterministic jumps, Optimal dividend policy when cash surplus follows the telegraph process, A note on the conditional probabilities of the telegraph process, First crossing times of telegraph processes with jumps, On the exact distributions of the maximum of the asymmetric telegraph process, Discretely observed Brownian motion governed by telegraph process: estimation, Jump telegraph processes and financial markets with memory, Stochastic velocity motions and processes with random time, Least-squares change-point estimation for the telegraph process observed at discrete times, Option Pricing Driven by a Telegraph Process with Random Jumps, Generalized Telegraph Process with Random Delays, On financial markets based on telegraph processes, A Damped Telegraph Random Process with Logistic Stationary Distribution

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Probability law, flow function, maximum distribution of wave-governed random motions and their connections with Kirchhoff's laws
• Stochastic comparison of processes generated by random interruptions of monotone functions and related results
• A stochastic model related to the telegrapher's equation
• Properties of the telegrapher's random process with or without a trap
• ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION