The geometric telegrapher's process has been proposed in 2002 as a model to describe the dynamics of the price of risky assets. In this contribution we consider a related stochastic process, whose trajectories have two alternating slopes, for which the random times between consecutive slope changes have exponential distribution with linearly increasing parameters. This leads to a process characterized by a damped behavior. We study the main features of the transient probability law of the process, and of its stationary limit.

On the damped geometric telegrapher’s process

DI CRESCENZO, Antonio;MARTINUCCI, BARBARA;
2012

Abstract

The geometric telegrapher's process has been proposed in 2002 as a model to describe the dynamics of the price of risky assets. In this contribution we consider a related stochastic process, whose trajectories have two alternating slopes, for which the random times between consecutive slope changes have exponential distribution with linearly increasing parameters. This leads to a process characterized by a damped behavior. We study the main features of the transient probability law of the process, and of its stationary limit.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11386/3040020
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