Joint Distributions of Functionals of the Telegraph Process and Switching Diffusions
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Mathematical Sciences"
DOI: 10.1007/s10958-020-04645-z
Abstract: The paper deals with methods of computation of joint distributions of functionals of the telegraph process and switching diffusions. A switching between two collections of diffusion coefficients happens at Poisson time moments that are independent… read more here.
Keywords: switching diffusions; distributions functionals; process switching; functionals telegraph ... See more keywords
A New Model of Campi Flegrei Inflation and Deflation Episodes Based on Brownian Motion Driven by the Telegraph Process
Sign Up to like & getrecommendations! Published in 2018 at "Mathematical Geosciences"
DOI: 10.1007/s11004-018-9756-8
Abstract: A stochastic model to describe the vertical motions in the Campi Flegrei volcanic region is proposed herein, consisting of a Brownian motion process driven by a generalized telegraph process. Knowledge on the probability law of… read more here.
Keywords: campi flegrei; process; brownian motion; model ... See more keywords
Transformations of Telegraph Processes and Their Financial Applications
Sign Up to like & getrecommendations! Published in 2021 at "Risks"
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