Self-exciting piecewise linear processes Academic Article

abstract

  • The paper concerns a piecewise linear process controlled by the set ofvelocities {cn}n≥0 consecutively switched after exponentially distributed, Exp(λn),n ≥ 0, time intervals. The distribution of such process is studied in detail, includingthe distribution of the first passage time through the constant boundary.The processes which moves by alternating patterns and with a double jumpcomponent are also studied.

publication date

  • 2017/1/1

edition

  • 14

keywords

  • First Passage Time
  • Interval
  • Jump
  • Linear Process
  • Piecewise Linear

International Standard Serial Number (ISSN)

  • 1807-0299

start page

  • 455

end page

  • 471