Damped jump-telegraph processes

We study a one-dimensional Markov modulated random walk with jumps. It is assumed that the amplitudes of the jumps as well as the chosen velocity regime are random, and depend on the time spent by the process at the previous state of the underlying Markov process.Equations for the distribution and e...

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Tipo de recurso:
Fecha de publicación:
2013
Institución:
Universidad del Rosario
Repositorio:
Repositorio EdocUR - U. Rosario
Idioma:
eng
OAI Identifier:
oai:repository.urosario.edu.co:10336/23335
Acceso en línea:
https://doi.org/10.1016/j.spl.2013.06.018
https://repository.urosario.edu.co/handle/10336/23335
Palabra clave:
Inhomogeneous jump-telegraph process
Martingale measure
Volterra equation
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spelling 3203526002020-05-26T00:01:14Z2020-05-26T00:01:14Z2013We study a one-dimensional Markov modulated random walk with jumps. It is assumed that the amplitudes of the jumps as well as the chosen velocity regime are random, and depend on the time spent by the process at the previous state of the underlying Markov process.Equations for the distribution and equations for its moments are derived. We characterise the martingale distributions in terms of observable proportions between the jump and velocity regimes. © 2013 Elsevier B.V.application/pdfhttps://doi.org/10.1016/j.spl.2013.06.0181677152https://repository.urosario.edu.co/handle/10336/23335eng2290No. 102282Statistics and Probability LettersVol. 83Statistics and Probability Letters, ISSN:1677152, Vol.83, No.10 (2013); pp. 2282-2290https://www.scopus.com/inward/record.uri?eid=2-s2.0-84880010336&doi=10.1016%2fj.spl.2013.06.018&partnerID=40&md5=2440f3ef874f58f643dbb66e4eb5a543Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURInhomogeneous jump-telegraph processMartingale measureVolterra equationDamped jump-telegraph processesarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Ratanov, NikitaORIGINAL1-s2-0-S016771521300223X-main.pdfapplication/pdf411203https://repository.urosario.edu.co/bitstreams/813e05ea-32c8-437a-b5cb-1200bf77a7d0/download48c499e3a35fbbd1bf2ed0174bcbf66cMD51TEXT1-s2-0-S016771521300223X-main.pdf.txt1-s2-0-S016771521300223X-main.pdf.txtExtracted texttext/plain27292https://repository.urosario.edu.co/bitstreams/0ce1ce06-faa9-4ff2-b8fd-10b584ba7ea9/download965f10d8cf53087057283bd0bf791f37MD52THUMBNAIL1-s2-0-S016771521300223X-main.pdf.jpg1-s2-0-S016771521300223X-main.pdf.jpgGenerated Thumbnailimage/jpeg4254https://repository.urosario.edu.co/bitstreams/77054a4b-111a-4bc7-85e7-6ac811ae0372/download56986e3bccbe6931b6cb366939e062adMD5310336/23335oai:repository.urosario.edu.co:10336/233352021-06-10 22:58:31.052https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv Damped jump-telegraph processes
title Damped jump-telegraph processes
spellingShingle Damped jump-telegraph processes
Inhomogeneous jump-telegraph process
Martingale measure
Volterra equation
title_short Damped jump-telegraph processes
title_full Damped jump-telegraph processes
title_fullStr Damped jump-telegraph processes
title_full_unstemmed Damped jump-telegraph processes
title_sort Damped jump-telegraph processes
dc.subject.keyword.spa.fl_str_mv Inhomogeneous jump-telegraph process
Martingale measure
Volterra equation
topic Inhomogeneous jump-telegraph process
Martingale measure
Volterra equation
description We study a one-dimensional Markov modulated random walk with jumps. It is assumed that the amplitudes of the jumps as well as the chosen velocity regime are random, and depend on the time spent by the process at the previous state of the underlying Markov process.Equations for the distribution and equations for its moments are derived. We characterise the martingale distributions in terms of observable proportions between the jump and velocity regimes. © 2013 Elsevier B.V.
publishDate 2013
dc.date.created.spa.fl_str_mv 2013
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dc.identifier.issn.none.fl_str_mv 1677152
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https://repository.urosario.edu.co/handle/10336/23335
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dc.relation.citationIssue.none.fl_str_mv No. 10
dc.relation.citationStartPage.none.fl_str_mv 2282
dc.relation.citationTitle.none.fl_str_mv Statistics and Probability Letters
dc.relation.citationVolume.none.fl_str_mv Vol. 83
dc.relation.ispartof.spa.fl_str_mv Statistics and Probability Letters, ISSN:1677152, Vol.83, No.10 (2013); pp. 2282-2290
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