On first-passage times for one-dimensional jump-diffusion processes

• Autorzy: Abundo M.
• Języki publikacji: EN

Abstrakty

EN

Some problems of first-crossing times over two time-dependent boundaries for one-dimensional jump-diffusion processes are considered. The moments of the first-crossing times over each boundary are shown to be the solutions of certain partial differential-difference equations with suitable outer conditions. An approach based on the Laplace transform allows us to compare the moments of the first-crossing times of the jump-diffusion process with those of the corresponding simple-diffusion without jumps. For some examples where the boundaries are constant, the results are illustrated graphically.

Słowa kluczowe

EN

jump-diffusion process; exit probability; first-crossing time

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2000
• Tom: Vol. 20, Fasc. 2
• Strony: 399--423
• Opis fizyczny: Bibliogr. 15 poz., wykr.

Twórcy

autor

Abundo M.

• Centro Yolterra and Dipartimento di Matematica, Universita Tor Vergata, 00133 Roma, Italy

Bibliografia

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