Differential Representation of a Samuelson Model with a Telegraph Drift
et | 23 mars 2018
À propos de cet article
Publié en ligne: 23 mars 2018
Pages: 45 - 59
Reçu: 09 févr. 2017
DOI: https://doi.org/10.1515/tmmp-2017-0013
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© 2018
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
In this paper we construct a system of three stochastic differential equations, which has a solution composed of a generalized telegraph signal process and a basic process. This system enabled us to find the escape probability of the basic process from an interval through its endpoint.