107
Views
1
CrossRef citations to date
0
Altmetric
Articles

First-passage problems for diffusion processes with state-dependent jumps

Pages 2908-2918 | Received 21 Mar 2019, Accepted 14 Jun 2020, Published online: 02 Jul 2020

References

  • Abundo, M. 2000. On first-passage times for one-dimensional jump-diffusion processes. Probability and Mathematical Statistics 20:399–423.
  • Abundo, M. 2010. On the first hitting time of a one-dimensional diffusion and a compound Poisson process. Methodology and Computing in Applied Probability 12 (3):473–90. doi:10.1007/s11009-008-9115-1.
  • Bo, L., and M. Lefebvre. 2011. Mean first passage times of two-dimensional processes with jumps. Statistics & Probability Letters 81 (8):1183–9. doi:10.1016/j.spl.2011.03.016.
  • Gihman, I. I., and A. V. Skorohod. 1972. Stochastic differential equations. New York: Springer.
  • Kou, S. G., and H. Wang. 2003. First passage times of a jump diffusion process. Advances in Applied Probability 35 (2):504–31. doi:10.1239/aap/1051201658.
  • Lefebvre, M. 1989. Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process. Stochastic Processes and Their Applications 32 (2):281–7. doi:10.1016/0304-4149(89)90080-X.
  • Lefebvre, M. 1997. First hitting place distributions for the Ornstein-Uhlenbeck process. Statistics & Probability Letters 34 (3):309–12. doi:10.1016/S0167-7152(96)00195-2.
  • Lefebvre, M. 2004. First hitting time and place for the integrated geometric Brownian motion. International Journal of Differential Equations and Applications 9:365–74.
  • Lefebvre, M. 2014. LQG homing for jump-diffusion processes. ROMAI Journal 10:1–6.
  • Lefebvre, M., and J.-L. Guilbault. 2004. Hitting place probabilities for two-dimensional diffusion processes. Revue Roumaine de Mathématiques Pures et Appliquées 49:11–25.
  • Merton, R. C. 1976. Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics 3 (1-2):125–44. doi:10.1016/0304-405X(76)90022-2.
  • Peng, J., and Z. Liu. 2011. First passage time moments of jump-diffusions with Markovian switching. International Journal of Stochastic Analysis 2011:1–11. doi:10.1155/2011/501360.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.