Self-exciting piecewise linear processes
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Cites work
- A damped telegraph random process with logistic stationary distribution
- A jump telegraph model for option pricing
- A stochastic model related to the telegrapher's equation
- Compound Poisson process with a Poisson subordinator
- Dynamic optimal execution in a mixed-market-impact Hawkes price model
- Generalized integrated telegraph processes and the distribution of related stopping times
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- Hypo-exponential distributions and compound Poisson processes with alternating parameters
- Impulse control of piecewise-deterministic processes
- Motions with reflecting and absorbing barriers driven by the telegraph equation
- Multivariate Hawkes processes: an application to financial data
- Numerical method for impulse control of piecewise deterministic Markov processes
- On a 2n-valued telegraph signal and the related integrated process
- ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION
- On piecewise linear processes
- On prices' evolutions based on geometric telegrapher's process
- On random motions with velocities alternating at Erlang-distributed random times
- On the asymmetric telegraph processes
- Option pricing driven by a telegraph process with random jumps
- Option pricing model based on a Markov-modulated diffusion with jumps
- Properties of the telegrapher's random process with or without a trap
- Spectra of some self-exciting and mutually exciting point processes
- Telegraph processes and option pricing
- Telegraph processes with random velocities
- The Equations of Markovian Random Evolution on the Line
- Transport processes with random jump rate
Cited in
(7)- A two-state neuronal model with alternating exponential excitation
- First crossing times of telegraph processes with jumps
- Piecewise linear process with renewal starting points
- On piecewise linear processes
- Planar piecewise linear random motions with jumps
- The discrete and continuum broken line process
- Self-exciting multifractional processes
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