Piecewise linear processes with Poisson‐modulated exponential switching times

DOI10.1002/MMA.5683zbMath1423.60126arXiv2103.06680OpenAlexW2948416981MaRDI QIDQ5240295

Barbara Martinucci, Nikita E. Ratanov, Antonio Di Crescenzo

Publication date: 25 October 2019

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.06680

zbMATH Keywords

martingalerenewal processtelegraph processrisk neutral measurepiecewise linear processPoisson-modulated exponential distribution

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Auctions, bargaining, bidding and selling, and other market models (91B26)

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