Double Telegraph Processes and Complete Market Models

DOI10.1080/07362994.2014.899914zbMath1311.60085OpenAlexW2087915937MaRDI QIDQ2875516

Nikita E. Ratanov

Publication date: 8 August 2014

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2014.899914

zbMATH Keywords

Doob-Meyer decompositionmartingaledoubly stochastic Poisson processjump-telegraph processcomplete market modelsMarkov flow

Mathematics Subject Classification ID

Special processes (60K99) Financial applications of other theories (91G80) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (2)

First crossing times of telegraph processes with jumps ⋮ Hypo-exponential distributions and compound Poisson processes with alternating parameters

Cites Work

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