Self-exciting piecewise linear processes

The paper concerns a piecewise linear process controlled by the set of velocities {cn}n≥0 consecutively switched after exponentially distributed, Exp(λn), n ≥ 0, time intervals. The distribution of such process is studied in detail, including the distribution of the first passage time through the co...

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Autores:

Tipo de recurso:

Fecha de publicación:

2017

Institución:

Universidad del Rosario

Repositorio:

Repositorio EdocUR - U. Rosario

Idioma:

eng

OAI Identifier:

oai:repository.urosario.edu.co:10336/14351

Acceso en línea:

http://repository.urosario.edu.co/handle/10336/14351

Palabra clave:

First Passage Time
Jump-Telegraph Process
Probabilidades & matemáticas aplicadas
Distribución (Teoría de probabilidades)

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