Transformations of Telegraph Processes and Their Financial Applications
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DOI: 10.3390/risks9080147
Abstract: In this paper, we consider non-linear transformations of classical telegraph process. The main results consist of deriving a general partial differential Equation (PDE) for the probability density (pdf) of the transformed telegraph process, and then… read more here.
Keywords: non linear; process; telegraph process; classical telegraph ... See more keywords