Self-exciting piecewise linear processes

Ratanov, Nikita

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Self-exciting piecewise linear processes

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dc.contributor.gruplac	Facultad de Economía	spa
dc.creator	Ratanov, Nikita
dc.creator.google	Ratanov, Nikita
dc.date.accessioned	2018-02-12T15:29:32Z
dc.date.available	2018-02-12T15:29:32Z
dc.date.created	2017
dc.date.issued	2017
dc.description.abstract	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	eng
dc.format.mimetype	application/pdf
dc.identifier.issn	1980-0436
dc.identifier.uri	http://repository.urosario.edu.co/handle/10336/14351
dc.language.iso	eng
dc.relation.citationTitle	Alea : Estudos Neolatinos
dc.relation.ispartof	Alea : Estudos Neolatinos, ISSN 1980-0436, Stat. 14, 2017; 445–471	spa
dc.relation.uri	http://alea.impa.br/articles/v14/14-24.PDF
dc.rights.accesRights	info:eu-repo/semantics/openAccess
dc.rights.acceso	Abierto (Texto Completo)	spa
dc.rights.cc	https://creativecommons.org/licenses/by/4./deed.pt	spa
dc.rights.uri	http://www.scielo.br/revistas/alea/paboutj.htm#3
dc.source.instname	instname:Universidad del Rosario
dc.source.reponame	reponame:Repositorio Institucional EdocUR
dc.subject	First Passage Time	spa
dc.subject	Jump-Telegraph Process	spa
dc.subject.ddc	Probabilidades & matemáticas aplicadas
dc.subject.lemb	Distribución (Teoría de probabilidades)	spa
dc.title	Self-exciting piecewise linear processes	spa
dc.type	article	eng
dc.type.hasVersion	info:eu-repo/semantics/publishedVersion
dc.type.spa	Artículo	spa