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On Fluctuations of a Nonmonotone Marked Point Process

The present article investigates a bivariate recurrent process, which can describe the behavior of a nonmonotone financial instrument observed at random times. We are able to find explicitly the joint distribution of the highest value of the instrument prior to its first drop using a game-theoretic...

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Bibliographic Details
Main Authors: Dshalalow, J.H., Robinson, R.
Format: Article
Language:English
Published: Інститут проблем моделювання в енергетиці ім. Г.Є. Пухова НАН України 2010
Subjects:
Online Access:http://dspace.nbuv.gov.ua/handle/123456789/12825
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