کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
979507 933359 2007 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Memory-based persistence in a counting random walk process
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Memory-based persistence in a counting random walk process
چکیده انگلیسی
This paper considers a memory-based persistent counting random walk, based on a Markov memory of the last event. This persistent model is a different than the Weiss persistent random walk model however, leading thereby to different results. We point out to some preliminary result, in particular, we provide an explicit expression for the mean and the variance, both nonlinear in time, of the underlying memory-based persistent process and discuss the usefulness to some problems in insurance, finance and risk analysis. The motivation for the paper arose from the counting of events (whether rare or not) in insurance that presume that events are time independent and therefore based on the Poisson distribution for counting these events.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 386, Issue 1, 1 December 2007, Pages 303-317
نویسندگان
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