We introduce a Self-Clocking Jump Process (SCJP), which is a natural generalization of a generalized semi-Markov process and applies to a large class of queueing models. As a stochastic process, a ...

This is a preview. Log in through your library . Abstract A non-linear stationary stochastic process {Xt} is derived and shown to have the property that both the processes {Xt} and {log Xt} have the ...

Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...