On first passage times of a hyper-exponential jump diffusion process

DOI10.1016/j.orl.2009.01.002zbMath1163.60039OpenAlexW2111774291MaRDI QIDQ1015316

Ning Cai

Publication date: 7 May 2009

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2009.01.002

zbMATH Keywords

first passage timesjump diffusionhyper-exponential distribution

Mathematics Subject Classification ID

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