On piecewise linear processes
The letter concerns piecewise deterministic processes controlled by a Markov flow with exponentially, Exp (?n), distributed interarrival times T n. Assuming all rates ?n to be different, we study the distribution of a piecewise linear process with jumps. © 2014 Elsevier B.V.
- 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:10336/23336
- Acceso en línea:
- https://doi.org/10.1016/j.spl.2014.03.015
https://repository.urosario.edu.co/handle/10336/23336
- Palabra clave:
- Erlang distribution
Financial modelling
Martingales
Piecewise constant process
Piecewise linear process
- Rights
- License
- Abierto (Texto Completo)
| Summary: | The letter concerns piecewise deterministic processes controlled by a Markov flow with exponentially, Exp (?n), distributed interarrival times T n. Assuming all rates ?n to be different, we study the distribution of a piecewise linear process with jumps. © 2014 Elsevier B.V. |
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