Double Telegraph Processes and Complete Market Models Academic Article

journal

  • Stochastic Analysis and Applications

abstract

  • 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. Moreover, in this model the jump-telegraph process performs additional jumps each time when the intensity changes at random. Martingale measures for this type of processes are described by using Girsanov's transformation. The market model based on the doubly stochastic jump-telegraph process is studied. A class of complete models is also considered. 2014 © Taylor & Francis Group, LLC.

publication date

  • 2014/1/1

keywords

  • Class
  • Complete markets
  • Girsanov Transformation
  • Jump
  • Jump process
  • Market Model
  • Market model
  • Martingale Measure
  • Martingale measure
  • Model
  • Model-based
  • Poisson process
  • Stochastic Processes
  • Telegraph

International Standard Serial Number (ISSN)

  • 0736-2994

number of pages

  • 20

start page

  • 555

end page

  • 574