Damped jump-telegraph processes

Nikita Ratanov

doi:10.1016/j.spl.2013.06.018

Damped jump-telegraph processes

Nikita Ratanov

urosario

Research output: Contribution to journal › Research Article › peer-review

10 Scopus citations

Abstract

We study a one-dimensional Markov modulated random walk with jumps. It is assumed that the amplitudes of the jumps as well as the chosen velocity regime are random, and depend on the time spent by the process at the previous state of the underlying Markov process.Equations for the distribution and equations for its moments are derived. We characterise the martingale distributions in terms of observable proportions between the jump and velocity regimes.

Original language	English (US)
Pages (from-to)	2282-2290
Number of pages	9
Journal	Statistics and Probability Letters
Volume	83
Issue number	10
DOIs	https://doi.org/10.1016/j.spl.2013.06.018
State	Published - Oct 2013

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2013.06.018

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title = "Damped jump-telegraph processes",

abstract = "We study a one-dimensional Markov modulated random walk with jumps. It is assumed that the amplitudes of the jumps as well as the chosen velocity regime are random, and depend on the time spent by the process at the previous state of the underlying Markov process.Equations for the distribution and equations for its moments are derived. We characterise the martingale distributions in terms of observable proportions between the jump and velocity regimes.",

author = "Nikita Ratanov",

year = "2013",

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AU - Ratanov, Nikita

PY - 2013/10

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N2 - We study a one-dimensional Markov modulated random walk with jumps. It is assumed that the amplitudes of the jumps as well as the chosen velocity regime are random, and depend on the time spent by the process at the previous state of the underlying Markov process.Equations for the distribution and equations for its moments are derived. We characterise the martingale distributions in terms of observable proportions between the jump and velocity regimes.

AB - We study a one-dimensional Markov modulated random walk with jumps. It is assumed that the amplitudes of the jumps as well as the chosen velocity regime are random, and depend on the time spent by the process at the previous state of the underlying Markov process.Equations for the distribution and equations for its moments are derived. We characterise the martingale distributions in terms of observable proportions between the jump and velocity regimes.

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U2 - 10.1016/j.spl.2013.06.018

DO - 10.1016/j.spl.2013.06.018

M3 - Research Article

AN - SCOPUS:84880010336

SN - 0167-7152

VL - 83

SP - 2282

EP - 2290

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 10

ER -

Damped jump-telegraph processes

Abstract

All Science Journal Classification (ASJC) codes

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