Damped jump-telegraph processes

Resultado de la investigación: Contribución a RevistaArtículo

8 Citas (Scopus)

Resumen

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. © 2013 Elsevier B.V.
Idioma originalEnglish (US)
Páginas (desde-hasta)2282-2290
Número de páginas9
PublicaciónStatistics and Probability Letters
DOI
EstadoPublished - oct 1 2013

Huella dactilar

Damped
Jump
Martingale
Markov Process
Random walk
Proportion
Moment
Jump process
Markov process

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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. {\circledC} 2013 Elsevier B.V.",
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Damped jump-telegraph processes. / Ratanov, Nikita.

En: Statistics and Probability Letters, 01.10.2013, p. 2282-2290.

Resultado de la investigación: Contribución a RevistaArtículo

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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. © 2013 Elsevier B.V.

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