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Long time behavior of telegraph processes under convex potentials
(2016)
We study the long-time behavior of variants of the telegraph process with position-dependent jump rates, which result in a monotone gradient-like drift towards the origin. We compute their invariant laws and obtain, via ...
Telegraph models of financial markets
(2001)
In this paper we develop a financial market model based on continuous time random motions with alternating constant velocities and with jumps occurring when the velocity switches. If jump directions are in the certain ...
On Financial Markets Based on Telegraph Processes, Quantitative Finance Papers
The paper develops a new class of financial market models. These models are based on generalized telegraph processes: Markov random flows with alternating velocities and jumps occurring when the velocities are switching. ...
Double Telegraph Processes and Complete Market Models
The traditional jump-telegraph processes are based on a Poisson process with alternating intensities. We develop a new model based on an alternating doubly stochastic Poisson process with random intensities of jumps. ...
Jump Telegraph-Diffusion Option Pricing
The paper develops a class of financial market models with jumps based on aBrownian motion, and inhomogeneous telegraph processes: random motions withalternating velocities. We assume that jumps occur when the velocities ...
A non-local in time telegraph equation
(2019)
In this work, we derive a non-local in time telegraph equation. Our model includes as particular cases the classical telegraph equation and the fractional in time telegraph equation among others. Further, we define the ...