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On first passage times of a hyper-exponential jump diffusion process

✍ Scribed by Ning Cai

Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
621 KB
Volume
37
Category
Article
ISSN
0167-6377

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✦ Synopsis

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 overshoot is studied from a primal-dual perspective.

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## 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