Damped jump-telegraph processes

Ratanov, Nikita

doi:https://doi.org/10.1016/j.spl.2013.06.018

Ítem

Acceso Abierto

Damped jump-telegraph processes

Mostrar el registro sencillo de la publicación

dc.creator	Ratanov, Nikita
dc.date.accessioned	2020-05-26T00:01:14Z
dc.date.available	2020-05-26T00:01:14Z
dc.date.created	2013	spa
dc.description.abstract	We study a one-dimensional Markov modulated random walk with jumps. It is assumed that the amplitudes of the jumps as well as the chosen velocity regime are random, and depend on the time spent by the process at the previous state of the underlying Markov process.Equations for the distribution and equations for its moments are derived. We characterise the martingale distributions in terms of observable proportions between the jump and velocity regimes. © 2013 Elsevier B.V.	eng
dc.format.mimetype	application/pdf
dc.identifier.doi	https://doi.org/10.1016/j.spl.2013.06.018
dc.identifier.issn	1677152
dc.identifier.uri	https://repository.urosario.edu.co/handle/10336/23335
dc.language.iso	eng	spa
dc.relation.citationEndPage	2290
dc.relation.citationIssue	No. 10
dc.relation.citationStartPage	2282
dc.relation.citationTitle	Statistics and Probability Letters
dc.relation.citationVolume	Vol. 83
dc.relation.ispartof	Statistics and Probability Letters, ISSN:1677152, Vol.83, No.10 (2013); pp. 2282-2290	spa
dc.relation.uri	https://www.scopus.com/inward/record.uri?eid=2-s2.0-84880010336&doi=10.1016%2fj.spl.2013.06.018&partnerID=40&md5=2440f3ef874f58f643dbb66e4eb5a543	spa
dc.rights.accesRights	info:eu-repo/semantics/openAccess
dc.rights.acceso	Abierto (Texto Completo)	spa
dc.source.instname	instname:Universidad del Rosario	spa
dc.source.reponame	reponame:Repositorio Institucional EdocUR	spa
dc.subject.keyword	Inhomogeneous jump-telegraph process	spa
dc.subject.keyword	Martingale measure	spa
dc.subject.keyword	Volterra equation	spa
dc.title	Damped jump-telegraph processes	spa
dc.type	article	eng
dc.type.hasVersion	info:eu-repo/semantics/publishedVersion
dc.type.spa	Artículo	spa