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)
Description
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.