Large deviation principles for telegraph processes
The aim of this paper is to present large deviation results for some telegraph random motions. We are not aware of any other results of this kind except the ones for the classical telegraph process (with drift). We start with the large deviation principle of the conditional laws given the number of changes of direction for the classical case; moreover, we compare the rate function with the one obtained for the non-conditional distributions. Finally, we study an inhomogeneous model and a planar telegraph motion.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 82 (2012)
Issue (Month): 11 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Nikita Ratanov, 2004. "A Jump Telegraph Model for Option Pricing," BORRADORES DE INVESTIGACIÓN 001919, UNIVERSIDAD DEL ROSARIO.
- 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. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:82:y:2012:i:11:p:1874-1882. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.