We investigate some important probabilistic properties relating to the first passage time of a hyperexponential jump diffusion process, including its finiteness, expectation, conditional memorylessness, and conditional independence. Moreover, the joint distribution of the first passage time and the
Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes
β Scribed by Atiya, Amir F.; Metwally, Steve A. K.
- Book ID
- 118191299
- Publisher
- Society for Industrial and Applied Mathematics
- Year
- 2005
- Tongue
- English
- Weight
- 324 KB
- Volume
- 26
- Category
- Article
- ISSN
- 1064-8275
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