First Passage Time Moments of Jump-Diffusions with Markovian Switching
Joint Authors
Source
International Journal of Stochastic Analysis
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-03-20
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
Using an integral equation associated with generalized backward Kolmogorov's equation for the transition probability density function, recurrence relations are derived for the moments of the time of first exit of jump-diffusions with Markovian switching.
The results are used to find the expectation of first passage time of some financial models.
American Psychological Association (APA)
Peng, Jun& Liu, Zaiming. 2011. First Passage Time Moments of Jump-Diffusions with Markovian Switching. International Journal of Stochastic Analysis،Vol. 2011, no. 2011, pp.1-11.
https://search.emarefa.net/detail/BIM-476565
Modern Language Association (MLA)
Peng, Jun& Liu, Zaiming. First Passage Time Moments of Jump-Diffusions with Markovian Switching. International Journal of Stochastic Analysis No. 2011 (2011), pp.1-11.
https://search.emarefa.net/detail/BIM-476565
American Medical Association (AMA)
Peng, Jun& Liu, Zaiming. First Passage Time Moments of Jump-Diffusions with Markovian Switching. International Journal of Stochastic Analysis. 2011. Vol. 2011, no. 2011, pp.1-11.
https://search.emarefa.net/detail/BIM-476565
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-476565
