On Fluctuations of a Nonmonotone Marked Point Process

• Date: 2010
• 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: Информационные технологии
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/12825
• 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.

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...