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
โฆ LIBER โฆ
On the First Hitting Time of a One-dimensional Diffusion and a Compound Poisson Process
โ Scribed by Mario Abundo
- Publisher
- Springer US
- Year
- 2008
- Tongue
- English
- Weight
- 383 KB
- Volume
- 12
- Category
- Article
- ISSN
- 1387-5841
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