On piecewise linear processes

DOI10.1016/J.SPL.2014.03.015zbMath1296.60203OpenAlexW2029975360MaRDI QIDQ2453922

Nikita E. Ratanov

Publication date: 11 June 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.03.015

zbMATH Keywords

martingalesErlang distributionfinancial modellingpiecewise linear processpiecewise constant process

Mathematics Subject Classification ID

Special processes (60K99) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (2)

Piecewise linear process with renewal starting points ⋮ Unnamed Item

Cites Work

• Telegraph processes and option pricing
• Numerical method for impulse control of piecewise deterministic Markov processes
• Impulse control of piecewise-deterministic processes
• Average Continuous Control of Piecewise Deterministic Markov Processes
• A Damped Telegraph Random Process with Logistic Stationary Distribution
• A jump telegraph model for option pricing
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