Kac’s rescaling for jump-telegraph processes

Oscar López and Nikita Ratanov ()

Statistics & Probability Letters, 2012, vol. 82, issue 10, 1768-1776

Abstract: We present limit theorems for an asymmetric telegraph process with drift and jumps under different rescaling conditions. The explicit formulae for the related characteristic functions are derived by solving a Cauchy problem for the respective hyperbolic system.

Keywords: Asymmetric jump-telegraph process; Limit theorem; Rescaling (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2012.05.024

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