Self-exciting piecewise linear processes

Título traducido de la contribución: Procesos lineales de piezas autoexcitantes

Resultado de la investigación: Contribución a RevistaArtículo

Resumen

El documento se refiere a un proceso lineal por partes controlado por el conjunto de
velocidades {cn}λn cambiadas consecutivamente después de distribuidas exponencialmente, Exp(λn),
n ≥ 0, intervalos de tiempo. Se estudia en detalle la distribución de dicho proceso, incluyendo
la distribución del tiempo de primer paso a través del límite constante.
Los procesos que se mueven alternando patrones y con un doble salto
también son estudiados.
Idioma originalEnglish (US)
Páginas (desde-hasta)455 - 471
PublicaciónESTUDOS NEOLATINOS
Volumen14
EstadoPublished - 2017

Huella dactilar

Linear Process
Piecewise Linear
First Passage Time
Jump
Interval

Citar esto

Ratanov, N. (2017). Self-exciting piecewise linear processes. ESTUDOS NEOLATINOS, 14, 455 - 471.
Ratanov, Nikita. / Self-exciting piecewise linear processes. En: ESTUDOS NEOLATINOS. 2017 ; Vol. 14. pp. 455 - 471.
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abstract = "The paper concerns a piecewise linear process controlled by the set ofvelocities {cn}n≥0 consecutively switched after exponentially distributed, Exp(λn),n ≥ 0, time intervals. The distribution of such process is studied in detail, includingthe distribution of the first passage time through the constant boundary.The processes which moves by alternating patterns and with a double jumpcomponent are also studied.",
author = "Nikita Ratanov",
year = "2017",
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Ratanov, N 2017, 'Self-exciting piecewise linear processes', ESTUDOS NEOLATINOS, vol. 14, pp. 455 - 471.

Self-exciting piecewise linear processes. / Ratanov, Nikita.

En: ESTUDOS NEOLATINOS, Vol. 14, 2017, p. 455 - 471.

Resultado de la investigación: Contribución a RevistaArtículo

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AU - Ratanov, Nikita

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N2 - The paper concerns a piecewise linear process controlled by the set ofvelocities {cn}n≥0 consecutively switched after exponentially distributed, Exp(λn),n ≥ 0, time intervals. The distribution of such process is studied in detail, includingthe distribution of the first passage time through the constant boundary.The processes which moves by alternating patterns and with a double jumpcomponent are also studied.

AB - The paper concerns a piecewise linear process controlled by the set ofvelocities {cn}n≥0 consecutively switched after exponentially distributed, Exp(λn),n ≥ 0, time intervals. The distribution of such process is studied in detail, includingthe distribution of the first passage time through the constant boundary.The processes which moves by alternating patterns and with a double jumpcomponent are also studied.

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Ratanov N. Self-exciting piecewise linear processes. ESTUDOS NEOLATINOS. 2017;14:455 - 471.