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On piecewise linear processes

Author

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  • Ratanov, Nikita

Abstract

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

Suggested Citation

  • Ratanov, Nikita, 2014. "On piecewise linear processes," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 60-67.
    • Handle: RePEc:eee:stapro:v:90:y:2014:i:c:p:60-67
    DOI: 10.1016/j.spl.2014.03.015
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    References listed on IDEAS

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    1. Nikita Ratanov, 2007. "A jump telegraph model for option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 575-583.
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    Cited by:

    1. Ratanov, Nikita, 2017. "Piecewise linear process with renewal starting points," Statistics & Probability Letters, Elsevier, vol. 131(C), pages 78-86.
    2. Nikita Ratanov, 2020. "First Crossing Times of Telegraph Processes with Jumps," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 349-370, March.

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