Kac's rescaling for jump-telegraph processes

DOI10.1016/j.spl.2012.05.024zbMath1266.60135OpenAlexW2069975696MaRDI QIDQ451151

J. Herrera, D. Rodríguez-Gómez

Publication date: 21 September 2012

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

Full work available at URL: https://doi.org/10.1016/j.spl.2012.05.024

zbMATH Keywords

rescalinglimit theoremasymmetric jump-telegraph process

Mathematics Subject Classification ID

Related Items (9)

Generalized Telegraph Process with Random Jumps ⋮ Coarse-Grained Stochastic Model of Myosin-Driven Vesicles into Dendritic Spines ⋮ Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment ⋮ First crossing times of telegraph processes with jumps ⋮ Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals ⋮ Ornstein-Uhlenbeck processes of bounded variation ⋮ On the Asymmetric Telegraph Processes ⋮ On a jump-telegraph process driven by an alternating fractional Poisson process ⋮ Kac-Lévy processes

Cites Work

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• A stochastic model related to the telegrapher's equation
• Jump telegraph processes and financial markets with memory
• Generalized Telegraph Process with Random Delays
• Telegraph processes with random velocities
• First-exit times for increasing compound processes
• Generalized integrated telegraph processes and the distribution of related stopping times
• A jump telegraph model for option pricing
• Probabilistic analysis of the telegrapher's process with drift by means of relativistic transformations

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