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.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
