Large deviation principles for telegraph processes
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References listed on IDEAS
- Foong, S. K. & Kanno, S., 1994. "Properties of the telegrapher's random process with or without a trap," Stochastic Processes and their Applications, Elsevier, vol. 53(1), pages 147-173, September.
- Iacus, Stefano Maria, 2001.
"Statistical analysis of the inhomogeneous telegrapher's process,"
Statistics & Probability Letters,
Elsevier, vol. 55(1), pages 83-88, November.
- Stefano Iacus, 2001. "Statistical analysis of the inhomogeneous telegrapher's process," Departmental Working Papers 2001-02, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Nikita Ratanov, 2007. "A jump telegraph model for option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 575-583.
- Macci, Claudio, 2009. "Convergence of large deviation rates based on a link between wave governed random motions and ruin processes," Statistics & Probability Letters, Elsevier, vol. 79(2), pages 255-263, January.
- Orsingher, Enzo, 1990. "Probability law, flow function, maximum distribution of wave-governed random motions and their connections with Kirchoff's laws," Stochastic Processes and their Applications, Elsevier, vol. 34(1), pages 49-66, February.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Macci, Claudio, 2016. "Large deviations for some non-standard telegraph processes," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 119-127.
More about this item
KeywordsConditional laws; Inhomogeneous Poisson processes; Markov additive processes; Random motions;
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