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)
Rights
License
Abierto (Texto Completo)
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spelling Facultad de Economía Ratanov, NikitaRatanov, Nikita3203526002018-02-12T15:29:32Z2018-02-12T15:29:32Z20172017The 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 constant boundary. The processes which moves by alternating patterns and with a double jump component are also studiedapplication/pdf1980-0436http://repository.urosario.edu.co/handle/10336/14351engAlea : Estudos NeolatinosAlea : Estudos Neolatinos, ISSN 1980-0436, Stat. 14, 2017; 445–471http://alea.impa.br/articles/v14/14-24.PDFAbierto (Texto Completo)https://creativecommons.org/licenses/by/4./deed.pthttp://www.scielo.br/revistas/alea/paboutj.htm#3http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURFirst Passage TimeJump-Telegraph ProcessProbabilidades & matemáticas aplicadas519600Distribución (Teoría de probabilidades)Self-exciting piecewise linear processesarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501ORIGINALPDF1.pdfapplication/pdf552387https://repository.urosario.edu.co/bitstreams/d06b11c3-bf22-4a20-871d-339c900e7a4f/download18d08d1020b0d1a48deae5330758e1c9MD51TEXTPDF1.pdf.txtPDF1.pdf.txtExtracted texttext/plain47972https://repository.urosario.edu.co/bitstreams/691ba387-acf3-485e-b7db-2e8403172b80/download0b039971dd60fd2a2c930f6855d15cffMD56THUMBNAILPDF1.pdf.jpgPDF1.pdf.jpgGenerated Thumbnailimage/jpeg3129https://repository.urosario.edu.co/bitstreams/6fa4ace5-22b8-4965-a2c5-e1d413e247bc/download8473375df7a3a5502eb7ea9a8cdcf8d8MD5710336/14351oai:repository.urosario.edu.co:10336/143512019-09-19 07:38:03.190837http://www.scielo.br/revistas/alea/paboutj.htm#3https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv Self-exciting piecewise linear processes
title Self-exciting piecewise linear processes
spellingShingle Self-exciting piecewise linear processes
First Passage Time
Jump-Telegraph Process
Probabilidades & matemáticas aplicadas
Distribución (Teoría de probabilidades)
title_short Self-exciting piecewise linear processes
title_full Self-exciting piecewise linear processes
title_fullStr Self-exciting piecewise linear processes
title_full_unstemmed Self-exciting piecewise linear processes
title_sort Self-exciting piecewise linear processes
dc.contributor.gruplac.spa.fl_str_mv Facultad de Economía
dc.subject.spa.fl_str_mv First Passage Time
Jump-Telegraph Process
topic First Passage Time
Jump-Telegraph Process
Probabilidades & matemáticas aplicadas
Distribución (Teoría de probabilidades)
dc.subject.ddc.none.fl_str_mv Probabilidades & matemáticas aplicadas
dc.subject.lemb.spa.fl_str_mv Distribución (Teoría de probabilidades)
description 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 constant boundary. The processes which moves by alternating patterns and with a double jump component are also studied
publishDate 2017
dc.date.created.none.fl_str_mv 2017
dc.date.issued.none.fl_str_mv 2017
dc.date.accessioned.none.fl_str_mv 2018-02-12T15:29:32Z
dc.date.available.none.fl_str_mv 2018-02-12T15:29:32Z
dc.type.eng.fl_str_mv article
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dc.type.spa.spa.fl_str_mv Artículo
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dc.identifier.uri.none.fl_str_mv http://repository.urosario.edu.co/handle/10336/14351
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dc.language.iso.none.fl_str_mv eng
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dc.relation.citationTitle.none.fl_str_mv Alea : Estudos Neolatinos
dc.relation.ispartof.spa.fl_str_mv Alea : Estudos Neolatinos, ISSN 1980-0436, Stat. 14, 2017; 445–471
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rights_invalid_str_mv Abierto (Texto Completo)
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http://www.scielo.br/revistas/alea/paboutj.htm#3
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