Mota, Pedro P.; EsquÍvel, Manuel L. - In: Quantitative Finance 14 (2013) 8, pp. 1479-1488
Motivated by the need to describe bear-bull market regime switching in stock prices, we introduce and study a stochastic process in continuous time with two regimes, threshold and delay, given by a stochastic differential equation. When the difference between the regimes is simply given by a...