Differential representation of a Samuelson model with a telegraph drift

In: Tatra Mountains Mathematical Publications, vol. 69, no. 2

Sergei A. Melnyk - Anna A. Kharkhota

Detaily:

Rok, strany: 2017, 45 - 59

Kľúčové slová:

stochastic differential equation, generalized telegraph signal process

O článku:

In this paper we construct a system of three stochastic differential equations, which has a solution composed of a generalized telegraph signal process and a basic process. This system enabled us to find the escape probability of the basic process from an interval through its endpoint.

Ako citovať:

ISO 690:

Melnyk, S., Kharkhota, A. 2017. Differential representation of a Samuelson model with a telegraph drift. In Tatra Mountains Mathematical Publications, vol. 69, no.2, pp. 45-59. 1210-3195.

APA:

Melnyk, S., Kharkhota, A. (2017). Differential representation of a Samuelson model with a telegraph drift. Tatra Mountains Mathematical Publications, 69(2), 45-59. 1210-3195.