Transformations of Telegraph Processes and Their Financial Applications
In this paper, we consider non-linear transformations of classical telegraph process. The main results consist of deriving a general partial differential Equation (PDE) for the probability density (pdf) of the transformed telegraph process, and then presenting the limiting PDE under Kac’s conditions...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2021-08-01
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Series: | Risks |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-9091/9/8/147 |