Telegraph Processes and Option Pricing
Alexander D. Kolesnik, Nikita Ratanov (auth.)The telegraph process is a useful mathematical model for describing the stochastic motion of a particle that moves with finite speed on the real line and alternates between two possible directions of motion at random time instants. That is why it can be considered as the finite-velocity counterpart of the classical Einstein-Smoluchowski's model of the Brownian motion in which the infinite speed of motion and the infinite intensity of the alternating directions are assumed.
The book will be interesting to specialists in the area of diffusion processes with finite speed of propagation and in financial modelling. It will also be useful for students and postgraduates who are taking their first steps in these intriguing and attractive fields.
年:
2013
出版:
1
出版社:
Springer-Verlag Berlin Heidelberg
语言:
english
页:
128
ISBN 10:
3642405266
ISBN 13:
9783642405266
系列:
SpringerBriefs in Statistics
文件:
PDF, 1.61 MB
IPFS:
,
english, 2013
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