First passage time moments of jump-diffusions with Markovian switching (Q538921): Difference between revisions
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Revision as of 07:51, 14 February 2024
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | First passage time moments of jump-diffusions with Markovian switching |
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First passage time moments of jump-diffusions with Markovian switching (English)
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26 May 2011
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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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