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

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Bibliographic Details
Title: On first passage times of a hyper-exponential jump diffusion process
Authors: Cai, Ning1 ningcai@ust.hk
Source: Operations Research Letters. Mar2009, Vol. 37 Issue 2, p127-134. 8p.
Subject Terms: EXPONENTS, DIFFUSION, EXPONENTIAL functions, NUMERICAL roots
Abstract: Abstract: We investigate some important probabilistic properties relating to the first passage time of a hyper-exponential 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. [Copyright &y& Elsevier]
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Database: Business Source Index
Description
Abstract:Abstract: We investigate some important probabilistic properties relating to the first passage time of a hyper-exponential 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. [Copyright &y& Elsevier]
ISSN:01676377
DOI:10.1016/j.orl.2009.01.002