The inhomogeneous Prendiville process in the presence of catastrophes at a generic state of the space of the states is considered. The transition probabilities and the moments are determined in closed form for the homogeneous case and when the intensities of the involved processes have the same time dependence.
Some Remarks on the Prendiville Model in the Presence of Jumps
Virginia Giorno;Amelia Giuseppina Nobile;Serena Spina
2020-01-01
Abstract
The inhomogeneous Prendiville process in the presence of catastrophes at a generic state of the space of the states is considered. The transition probabilities and the moments are determined in closed form for the homogeneous case and when the intensities of the involved processes have the same time dependence.File in questo prodotto:
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