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Self-exciting piecewise linear processes
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2017
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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
Palabras clave
First Passage Time , Jump-Telegraph Process