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