First-passage times of regime switching models

DOI10.1016/j.spl.2014.05.018zbMath1351.60049OpenAlexW3124131247MaRDI QIDQ2251701

Peter Hieber

Publication date: 15 July 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://mediatum.ub.tum.de/doc/1172949/document.pdf

zbMATH Keywords

Laplace transformWiener-Hopf factorizationMarkov switchingfirst-passage timefirst-exit timeregime switching Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Continuous-time Markov processes on discrete state spaces (60J27)

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