On first-passage times for one-dimensional jump-diffusion processes (Q2772063)
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scientific article; zbMATH DE number 1706605
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On first-passage times for one-dimensional jump-diffusion processes |
scientific article; zbMATH DE number 1706605 |
Statements
18 February 2002
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jump-diffusion process
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exit probability
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first crossing time
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On first-passage times for one-dimensional jump-diffusion processes (English)
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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 solutions of certain partial differential-difference equations with suitable outer conditions. An approach based on the Laplace transform allows 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 with constant boundaries the graphic illustrations of the results are presented.
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