65 citations
- Universidad de Los AndesCO7 papers
- Fudan UniversityCN6 papers
- Centre National de la Recherche ScientifiqueFR3 papers
- Pontificia Universidad JaverianaCO3 papers
- Universidad Autónoma de MadridES3 papers
- Universidad del NorteCO3 papers
- Universidad Rey Juan CarlosES3 papers
- Central UniversityCO2 papers
- Innaxis Foundation & Research InstituteES2 papers
- Laboratoire d'Informatique de l'École PolytechniqueFR2 papers
- Laboratoire d'Informatique, du Traitement de l'Information et des SystèmesFR2 papers
- Ollscoil na Gaillimhe – University of GalwayIE2 papers
Showing 2013 · math.PRShow all
2 papers · 2 filters
math.PR2013★ 16 cited
Telegraph Processes with Random Jumps and Complete Market Models
Nikita Ratanov
We propose a new generalisation of jump-telegraph process with variable velocities and jumps. Amplitude of the jumps and velocity values are random, and they depend on the time spe…
math.PR2013
Damped jump-telegraph processes
Nikita Ratanov
We study a one-dimensional Markov modulated random walk with jumps. It is assumed that amplitudes of jumps as well as a chosen velocity regime are random and depend on a time spent…