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EnglishThe 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.
http://hdl.handle.net/11386/3040020| Titolo: | On the damped geometric telegrapher’s process |
| Autori interni: | DI CRESCENZO, Antonio MARTINUCCI, BARBARA |
| Data di pubblicazione: | 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. |
| Handle: | http://hdl.handle.net/11386/3040020 |
| ISBN: | 9788847023413 |
| Appare nelle tipologie: | 2.1.2 Articolo su libro con ISBN |
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