Convergence of hitting times for jump-diffusion processes

DOI10.15559/15-VMSTA32zbMath1352.60052arXiv1509.02112MaRDI QIDQ340776

Georgiy M. Shevchenko

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.02112

zbMATH Keywords

convergencestochastic differential equationsPoisson measurestopping timehitting timesjump-diffusion processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17)

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Cites Work

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• Theory of stochastic differential equations with jumps and applications.
• Convergence of solutions and their exit times in diffusion models with jumps
• Convergence of exit times for diffusion processes
• Financial Modelling with Jump Processes
• Optimal stopping, free boundary, and American option in a jump-diffusion model

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