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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| Date: | 2010 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут проблем моделювання в енергетиці ім. Г.Є. Пухова НАН України
2010
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| Subjects: | |
| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/12825 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | 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. |
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