Jump telegraph processes and financial markets with memory
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Publication:2478418
DOI10.1155/2007/72326zbMath1149.60053OpenAlexW2013541877MaRDI QIDQ2478418
Publication date: 28 March 2008
Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/54714
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Related Items (9)
Option pricing under a jump-telegraph diffusion model with jumps of random size ⋮ A note on the conditional probabilities of the telegraph process ⋮ Generalized Telegraph Process with Random Jumps ⋮ On the generalized telegraph process with deterministic jumps ⋮ Kac's rescaling for jump-telegraph processes ⋮ Telegraph processes with random jumps and complete market models ⋮ Piecewise deterministic processes following two alternating patterns ⋮ Stochastic velocity motions and processes with random time ⋮ Least-squares change-point estimation for the telegraph process observed at discrete times
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