Double Telegraph Processes and Complete Market Models

Resultado de la investigación: Contribución a RevistaArtículo

3 Citas (Scopus)

Resumen

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 © Taylor & Francis Group, LLC.
Idioma originalEnglish (US)
Páginas (desde-hasta)555-574
Número de páginas20
PublicaciónStochastic Analysis and Applications
DOI
EstadoPublished - ene 1 2014

Huella dactilar

Telegraph
Market Model
Jump
Poisson process
Girsanov Transformation
Model-based
Martingale Measure
Stochastic Processes
Market model
Complete markets
Jump process
Model

Citar esto

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Double Telegraph Processes and Complete Market Models. / Ratanov, Nikita.

En: Stochastic Analysis and Applications, 01.01.2014, p. 555-574.

Resultado de la investigación: Contribución a RevistaArtículo

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