Double Telegraph Processes and Complete Market Models

Nikita Ratanov

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

The traditional jump-telegraph processes are based on a Poisson process with alternating intensities. We develop a new model based on an alternating doubly stochastic Poisson process with random intensities of jumps. Moreover, in this model the jump-telegraph process performs additional jumps each time when the intensity changes at random. Martingale measures for this type of processes are described by using Girsanov's transformation. The market model based on the doubly stochastic jump-telegraph process is studied. A class of complete models is also considered. 2014

Original languageEnglish (US)
Pages (from-to)555-574
Number of pages20
JournalStochastic Analysis and Applications
Volume32
Issue number4
DOIs
StatePublished - Jul 2014

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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