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Control Improvement for Jump-Diffusion Processes with Applications to Finance

✍ Scribed by Nicole Bäuerle; Ulrich Rieder

Publisher
Springer
Year
2011
Tongue
English
Weight
496 KB
Volume
65
Category
Article
ISSN
0095-4616

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First passage time for multivariate jump
First passage time for multivariate jump-diffusion processes in finance and other areas of applications
✍ Di Zhang; Roderick V. N. Melnik 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 188 KB

## Abstract The first passage time (FPT) problem is an important problem with a wide range of applications in science, engineering, economics, and industry. Mathematically, such a problem can be reduced to estimating the probability of a stochastic process first to reach a boundary level. In most i