Convergence of hitting times for jump-diffusion processes

DOI10.15559/15-VMSTA32zbMATH Open1352.60052arXiv1509.02112MaRDI QIDQ340776FDOQ340776

Authors: G. M. Shevchenko 

Publication date: 15 November 2016

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

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.

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

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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)

Cites Work

• Financial Modelling with Jump Processes
• Theory of stochastic differential equations with jumps and applications.
• Optimal stopping, free boundary, and American option in a jump-diffusion model
• Convergence of solutions and their exit times in diffusion models with jumps
• Convergence of exit times for diffusion processes
• Convergence of hitting times in diffusion models with jumps and non-Lipschitz diffusion
• Title not available (Why is that?)

Cited In (5)

• 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
• Control and optimal stopping mean field games: a linear programming approach
• Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
• Convergence of hitting times in diffusion models with jumps and non-Lipschitz diffusion

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