Double Telegraph Processes and Complete Market Models
The traditional jump-telegraph processes are based on a Poisson process with alternating intensities. We develop a new model based on an alternating doubly stochastic Poisson process with random intensities of jumps. Moreover, in this model the jump-telegraph process performs additional jumps each t...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2014
- Institución:
- Universidad del Rosario
- Repositorio:
- Repositorio EdocUR - U. Rosario
- Idioma:
- eng
- OAI Identifier:
- oai:repository.urosario.edu.co:10336/23337
- Acceso en línea:
- https://doi.org/10.1080/07362994.2014.899914
https://repository.urosario.edu.co/handle/10336/23337
- Palabra clave:
- Complete market models
Doubly stochastic Poisson process
Jump-telegraph process
Markov flow
Martingale
- Rights
- License
- Abierto (Texto Completo)