On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models

DOI10.1016/j.spl.2016.10.011zbMath1354.60089OpenAlexW2539562307MaRDI QIDQ2520532

Yavor I. Stoev, Pavel V. Gapeev

Publication date: 15 December 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.10.011

zbMATH Keywords

Laplace transformsstochastic differential equationsjump-diffusion processesBrownian motionscompound Poisson processesfirst-exit timesnon-affine processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Linear boundary value problems for ordinary differential equations (34B05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (3)

ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY ⋮ On Chernoff's test for a fractional Brownian motion ⋮ On some functionals of the first passage times in jump models of stochastic volatility

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