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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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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Abierto (Texto Completo)
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oai_identifier_str oai:repository.urosario.edu.co:10336/23337
network_acronym_str EDOCUR2
network_name_str Repositorio EdocUR - U. Rosario
repository_id_str
spelling 3203526002020-05-26T00:01:14Z2020-05-26T00:01:14Z2014The 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 time when the intensity changes at random. Martingale measures for this type of processes are described by using Girsanov's transformation. The market model based on the doubly stochastic jump-telegraph process is studied. A class of complete models is also considered. 2014 © Taylor and Francis Group, LLC.application/pdfhttps://doi.org/10.1080/07362994.2014.8999141532935607362994https://repository.urosario.edu.co/handle/10336/23337engTaylor and Francis Inc.574No. 4555Stochastic Analysis and ApplicationsVol. 32Stochastic Analysis and Applications, ISSN:15329356, 07362994, Vol.32, No.4 (2014); pp. 555-574https://www.scopus.com/inward/record.uri?eid=2-s2.0-84902505171&doi=10.1080%2f07362994.2014.899914&partnerID=40&md5=e40b7f8628133009e37ee24bd313cc52Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURComplete market modelsDoubly stochastic Poisson processJump-telegraph processMarkov flowMartingaleDouble Telegraph Processes and Complete Market ModelsarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Ratanov, Nikita10336/23337oai:repository.urosario.edu.co:10336/233372021-06-10 23:06:21.363https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv Double Telegraph Processes and Complete Market Models
title Double Telegraph Processes and Complete Market Models
spellingShingle Double Telegraph Processes and Complete Market Models
Complete market models
Doubly stochastic Poisson process
Jump-telegraph process
Markov flow
Martingale
title_short Double Telegraph Processes and Complete Market Models
title_full Double Telegraph Processes and Complete Market Models
title_fullStr Double Telegraph Processes and Complete Market Models
title_full_unstemmed Double Telegraph Processes and Complete Market Models
title_sort Double Telegraph Processes and Complete Market Models
dc.subject.keyword.spa.fl_str_mv Complete market models
Doubly stochastic Poisson process
Jump-telegraph process
Markov flow
Martingale
topic Complete market models
Doubly stochastic Poisson process
Jump-telegraph process
Markov flow
Martingale
description 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 time when the intensity changes at random. Martingale measures for this type of processes are described by using Girsanov's transformation. The market model based on the doubly stochastic jump-telegraph process is studied. A class of complete models is also considered. 2014 © Taylor and Francis Group, LLC.
publishDate 2014
dc.date.created.spa.fl_str_mv 2014
dc.date.accessioned.none.fl_str_mv 2020-05-26T00:01:14Z
dc.date.available.none.fl_str_mv 2020-05-26T00:01:14Z
dc.type.eng.fl_str_mv article
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.spa.spa.fl_str_mv Artículo
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1080/07362994.2014.899914
dc.identifier.issn.none.fl_str_mv 15329356
07362994
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/23337
url https://doi.org/10.1080/07362994.2014.899914
https://repository.urosario.edu.co/handle/10336/23337
identifier_str_mv 15329356
07362994
dc.language.iso.spa.fl_str_mv eng
language eng
dc.relation.citationEndPage.none.fl_str_mv 574
dc.relation.citationIssue.none.fl_str_mv No. 4
dc.relation.citationStartPage.none.fl_str_mv 555
dc.relation.citationTitle.none.fl_str_mv Stochastic Analysis and Applications
dc.relation.citationVolume.none.fl_str_mv Vol. 32
dc.relation.ispartof.spa.fl_str_mv Stochastic Analysis and Applications, ISSN:15329356, 07362994, Vol.32, No.4 (2014); pp. 555-574
dc.relation.uri.spa.fl_str_mv https://www.scopus.com/inward/record.uri?eid=2-s2.0-84902505171&doi=10.1080%2f07362994.2014.899914&partnerID=40&md5=e40b7f8628133009e37ee24bd313cc52
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.acceso.spa.fl_str_mv Abierto (Texto Completo)
rights_invalid_str_mv Abierto (Texto Completo)
http://purl.org/coar/access_right/c_abf2
dc.format.mimetype.none.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv Taylor and Francis Inc.
institution Universidad del Rosario
dc.source.instname.spa.fl_str_mv instname:Universidad del Rosario
dc.source.reponame.spa.fl_str_mv reponame:Repositorio Institucional EdocUR
repository.name.fl_str_mv Repositorio institucional EdocUR
repository.mail.fl_str_mv edocur@urosario.edu.co
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