Boundary crossing probabilities of jump diffusion processes to time-dependent boundaries (Q2176382)
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scientific article; zbMATH DE number 7196072
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| English | Boundary crossing probabilities of jump diffusion processes to time-dependent boundaries |
scientific article; zbMATH DE number 7196072 |
Statements
Boundary crossing probabilities of jump diffusion processes to time-dependent boundaries (English)
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4 May 2020
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finite Markov chain imbedding
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boundary crossing probability
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first passage time
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jump diffusion processes
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compound Poisson processes
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Brownian motion
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0.8325775265693665
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0.8250309824943542
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0.8103330135345459
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0.799411416053772
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0.7844364643096924
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