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Self-exciting piecewise linear processes

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Date
2017
Author
Ratanov, NikitaAutoridad Universidad de Rosario
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Citation
URI

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

Summary

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
Subject
First Passage Time ; Jump-Telegraph Process ;

Subject

Probabilidades & matemáticas aplicadas ;

Source link

http://alea.impa.br/articles/v14/14-24.PDF...

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