Convergence of hitting times for jump-diffusion processes

DOI10.15559/15-VMSTA32MaRDI QIDQ340776zbMATH OpenFDO

Authors G. M. Shevchenko

Publication date 15 November 2016

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.02112

zbMATH Keywords

convergencestopping timehitting timesstochastic differential equationsPoisson measurejump-diffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Abstract: We investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with jumps. Under reasonable assumptions, we establish the convergence of solutions to the equations and of the moments when the solutions hit certain sets.

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Cites work

• scientific article; zbMATH DE number 1069622 (Why is no real title available?)
• Convergence of exit times for diffusion processes
• Convergence of hitting times in diffusion models with jumps and non-Lipschitz diffusion
• Convergence of solutions and their exit times in diffusion models with jumps
• Financial Modelling with Jump Processes
• Optimal stopping, free boundary, and American option in a jump-diffusion model
• Theory of stochastic differential equations with jumps and applications.

Cited in

(5)

• Control and optimal stopping mean field games: a linear programming approach
• Convergence of hitting times in diffusion models with jumps and non-Lipschitz diffusion
• Convergence to equilibrium for time-inhomogeneous jump diffusions with state-dependent jump intensity
• Convergence of solutions and their exit times in diffusion models with jumps
• Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem

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