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...
Gespeichert in:
| Datum: | 2010 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | English |
| Veröffentlicht: |
Інститут проблем моделювання в енергетиці ім. Г.Є. Пухова НАН України
2010
|
| Schlagworte: | |
| Online Zugang: | http://dspace.nbuv.gov.ua/handle/123456789/12825 |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | On Fluctuations of a Nonmonotone Marked Point Process / J.H. Dshalalow, R. Robinson // Электронное моделирование. — 2010. — Т. 32, № 3. — С. 19-31. — Бібліогр.: 13 назв. — англ. |
Institution
Digital Library of Periodicals of National Academy of Sciences of UkraineSchreiben Sie den ersten Kommentar!