Ítem
Acceso Abierto
On piecewise linear processes
Título de la revista
Autores
Ratanov, Nikita
Archivos
Fecha
2014
Directores
ISSN de la revista
Título del volumen
Editor
Elsevier
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Resumen
Abstract
The letter concerns piecewise deterministic processes controlled by a Markov flow with exponentially, Exp (?n), distributed interarrival times T n. Assuming all rates ?n to be different, we study the distribution of a piecewise linear process with jumps. © 2014 Elsevier B.V.
Palabras clave
Keywords
Erlang distribution , Financial modelling , Martingales , Piecewise constant process , Piecewise linear process
