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.
@article{483,
title = {Differential representation of a Samuelson model with a telegraph drift},
journal = {Tatra Mountains Mathematical Publications},
volume = {70},
year = {2018},
language = {EN},
url = {http://dml.mathdoc.fr/item/483}
}
Melnyk, Serhij Anatolijowycz; Kharkhota, Anna. Differential representation of a Samuelson model with a telegraph drift. Tatra Mountains Mathematical Publications, Tome 70 (2018) . http://gdmltest.u-ga.fr/item/483/