Asymptotic Estimation of Two Telegraph Particle Collisions and Spread Options Valuations

Asymptotic Estimation of Two Telegraph Particle Collisions and Spread Options Valuations

In this paper, we study collisions of two telegraph particles on a line that are described by telegraph processes between collisions. We obtain an asymptotic estimation of the number of collisions under Kac’s condition for the cases where the direction-switching processes have the same parameters an...

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Bibliographic Details
Main Authors: Anatoliy A. Pogorui, Anatoliy Swishchuk, Ramón M. Rodríguez-Dagnino
Format: Article
Language:English
Published: MDPI AG 2022-06-01
Series:Mathematics
Subjects:
telegraph process
Markov stochastic evolution
collision number
Kac’s condition
Laplace transform
Online Access:https://www.mdpi.com/2227-7390/10/13/2201

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