additive processes switch-time family distributions and processes simulation
Issue Date:
2019
Publisher:
Institute of Mathematics and Informatics at the Bulgarian Academy of Sciences
Citation:
Pliska Studia Mathematica Bulgarica, Vol. 30, No 1, (2019), 201p-214p
Abstract:
A family of probability distributions and related to them processes known as Switch Time distributions and processes (ST distributions and processes) are presented and simulated. Here by switch time we denote the time of sharp change of value of a stochastic process (jump) or sharp change of some characteristics of a stochastic process (regime switch). 2010 Mathematics Subject Classification: 60G51, 97K60.
