activity
20072021
most citedTelegraph Processes with Random Jumps and Complete Market Models

16 citations · 34 across the 9 of their papers we have counts for

collaborators

11 papers

math.PR2021

Piecewise linear processes with Poisson-modulated exponential switching times

Antonio Di Crescenzo, Barbara Martinucci, Nikita Ratanov

We consider the jump telegraph process when switching intensities depend on external shocks also accompanying with jumps. The incomplete financial market model based on this proces…

math.PR2021

First-passage probabilities and invariant distributions of Kac-Ornstein-Uhlenbeck processes

Nikita Ratanov

In this paper, we study Ornstein-Uhlenbeck processes with Markov modulation, whose parameters depend on an external underlying two-state Markov process. Conditional mean and varian…

math.PR2021

On telegraph processes, their first passage times and running extrema

Nikita Ratanov

In this note, we present some ideas for describing the distributions of the running maximum/minimum, first passage times and telegraphic meanders. Explicit formulae for joint distr…

math.PR2020★ 11 cited

Ornstein-Uhlenbeck processes of bounded variation

Nikita Ratanov

Ornstein-Uhlenbeck process of bounded variation is introduced as a solution of an analogue of the Langevin equation with an integrated telegraph process replacing a Brownian motion…

math.PR2018

Kac-Lévy processes

Nikita Ratanov

Markov-modulated Lévy processes with two different regimes of restarting are studied. These regimes correspond to the completely renewed process and to the process of Markov modula…

math.PR2015★ 7 cited

On jump-diffusion processes with regime switching: martingale approach

Antonio Di Crescenzo, Nikita Ratanov

We study jump-diffusion processes with parameters switching at random times. Being motivated by possible applications, we characterise equivalent martingale measures for these proc…