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...

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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
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