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On piecewise linear processes

Article ID Journal Published Year Pages File Type
1151945 Statistics & Probability Letters 2014 8 Pages PDF
Abstract

The letter concerns piecewise deterministic processes controlled by a Markov flow with exponentially, Exp(λn), distributed interarrival times TnTn. Assuming all rates λnλn to be different, we study the distribution of a piecewise linear process with jumps.

Keywords
primary, 60J27Erlang distributionMartingalesFinancial modelling
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
On piecewise linear processes
Authors
Nikita Ratanov,
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Statistics & Probability Letters
Journal: Statistics & Probability Letters
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Martingales
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