First passage time moments of jump-diffusions with Markovian switching (Q538921): Difference between revisions

Summary: Using an integral equation associated with the generalized backward Kolmogorov's equation for the transition probability density function, recurrence relations are derived for the moments of the time of first exit of jump-diffusions with Markovian switching. The results are used to find the expectation of first passage time of some financial models.

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1155/2011/501360

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cites work

On the first-exit time problem for temporally homogeneous Markov processes

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First exit time probability for multidimensional diffusions: A PDE-based approach

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First passage times of a jump diffusion process

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Stability of regime-switching diffusions

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On the stability of jump-diffusions with Markovian switching

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Q5653395

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Simulation of first-passage times for alternating Brownian motions

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Q4845603

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Option pricing model based on a Markov-modulated diffusion with jumps

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Whether to sell or hold a stock

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Identifiers

zbMATH Open document ID

1234.60081

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DOI

10.1155/2011/501360

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:538921

@@ Property / author @@
-Jun Peng
@@ Property / author: Jun Peng / rank @@
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-Zai-Ming Liu
@@ Property / author: Zai-Ming Liu / rank @@
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@@ Property / author @@
+Jun Peng
@@ Property / author: Jun Peng / rank @@
+Normal rank
@@ Property / author @@
+Zai-Ming Liu
@@ Property / author: Zai-Ming Liu / rank @@
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@@ Property / review text @@
+Summary: Using an integral equation associated with the generalized backward Kolmogorov's equation for the transition probability density function, recurrence relations are derived for the moments of the time of first exit of jump-diffusions with Markovian switching. The results are used to find the expectation of first passage time of some financial models.
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+J60
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+H30
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+J27
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+J75
@@ Property / Mathematics Subject Classification ID: 60J75 / rank @@
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+5900142
@@ Property / zbMATH DE Number: 5900142 / rank @@
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+Q58688917
@@ Property / Wikidata QID: Q58688917 / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1155/2011/501360
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@@ Property / OpenAlex ID @@
+W2066804458
@@ Property / OpenAlex ID: W2066804458 / rank @@
+Normal rank
@@ Property / cites work @@
+On the first-exit time problem for temporally homogeneous Markov processes
+Normal rank
@@ Property / cites work @@
+First exit time probability for multidimensional diffusions: A PDE-based approach
+Normal rank
@@ Property / cites work @@
+First passage times of a jump diffusion process
@@ Property / cites work: First passage times of a jump diffusion process / rank @@
+Normal rank
@@ Property / cites work @@
+Stability of regime-switching diffusions
@@ Property / cites work: Stability of regime-switching diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+On the stability of jump-diffusions with Markovian switching
+Normal rank
@@ Property / cites work @@
+Q5653395
@@ Property / cites work: Q5653395 / rank @@
+Normal rank
@@ Property / cites work @@
+Simulation of first-passage times for alternating Brownian motions
+Normal rank
@@ Property / cites work @@
+Q4845603
@@ Property / cites work: Q4845603 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing model based on a Markov-modulated diffusion with jumps
+Normal rank
@@ Property / cites work @@
+Whether to sell or hold a stock
@@ Property / cites work: Whether to sell or hold a stock / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:538921