Self-exciting piecewise linear processes

Nikita Ratanov

Self-exciting piecewise linear processes

Título traducido de la contribución: Procesos lineales de piezas autoexcitantes

Nikita Ratanov

Producción científica: Contribución a revista › Artículo de Investigación › revisión exhaustiva

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.

Título traducido de la contribución	Procesos lineales de piezas autoexcitantes
Idioma original	Inglés estadounidense
Páginas (desde-hasta)	455 - 471
Publicación	Alea: Estudios Neolatinos
Volumen	14
Estado	Publicada - 2017

Citar esto

@article{ed21da920a4a44ca9e36bbeda4f53f84,

title = "Self-exciting piecewise linear processes",

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

author = "Nikita Ratanov",

year = "2017",

language = "English (US)",

volume = "14",

pages = "455 -- 471",

journal = "Alea: Estudios Neolatinos",

issn = "1807-0299",

publisher = "Universidade Federal do Rio de Janeiro",

}

TY - JOUR

T1 - Self-exciting piecewise linear processes

AU - Ratanov, Nikita

PY - 2017

Y1 - 2017

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

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

M3 - Research Article

SN - 1807-0299

VL - 14

SP - 455

EP - 471

JO - Alea: Estudios Neolatinos

JF - Alea: Estudios Neolatinos

ER -

Self-exciting piecewise linear processes

Resumen

Huella

Citar esto