Functionals of Telegraph Process
| Autor: | Alexander D. Kolesnik, Nikita Ratanov |
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| Rok vydání: | 2022 |
| Předmět: | |
| Zdroj: | Telegraph Processes and Option Pricing ISBN: 9783662658260 Telegraph Processes and Option Pricing ISBN: 9783642405259 |
| DOI: | 10.1007/978-3-662-65827-7_5 |
| Popis: | In this chapter we study some important functionals of the telegraph processes. We derive the explicit formulae for the densities of the telegraph processes with reflecting and absorbing barriers, as well as first passage times and occupation time distributions. Our presentation corrects some inaccuracies and errors in this field. |
| Databáze: | OpenAIRE |
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