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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 ...
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 ...
Surface gravity waves on randomly irregular floor and the telegrapher's equation
(American Institute of Physics, 2021-04)
The simplest model for the evolution of the mean-value of a surface gravity wave propagating in a random bottom has been connected with the telegrapher's equation. This analysis is based on the comparison of the mean-value ...
Dissipative effects in nonlinear Klein-Gordon dynamics
(Europhysics Letters, 2016-03)
We consider dissipation in a recently proposed nonlinear Klein-Gordon dynamics that admits exact time-dependent solutions of the power-law form ei(kx>wt) q , involving the q-exponential function naturally arising within ...
Finite-Velocity Diffusion in Random Media
(Springer, 2020-05)
We investigated a diffusion-like equation with a bounded speed of signal propagation (the so called telegrapher’s equation) in a random media. We discuss some properties of the mean-value solution in a well-defined ...
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. ...
Asymptotic behaviour of the time-fractional telegraph equation
(APPLIED PROBABILITY TRUST, 2014)