Abstract
Let X(t) be a time-homogeneous jump-diffusion process. We assume that the jump size depends on the value of X(t). We obtain analytical results for the moments of T(x) and of where T(x) is the first time that the process leaves the interval (a, b). We also compute These results have applications in financial mathematics.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.