First passage time moments of jump-diffusions with Markovian switching (Q538921): Difference between revisions
From MaRDI portal
Changed an Item |
Created claim: Wikidata QID (P12): Q58688917, #quickstatements; #temporary_batch_1705514146057 |
||
Property / Wikidata QID | |||
Property / Wikidata QID: Q58688917 / rank | |||
Normal rank |
Revision as of 20:01, 17 January 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | First passage time moments of jump-diffusions with Markovian switching |
scientific article |
Statements
First passage time moments of jump-diffusions with Markovian switching (English)
0 references
26 May 2011
0 references
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.
0 references