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