On certain bounds for first-crossing-time probabilities of a jump-diffusion process

zbMATH Open1108.60032arXiv0706.2755MaRDI QIDQ3422352FDOQ3422352

Authors: Antonio Di Crescenzo, E. Di Nardo, L. M. Ricciardi 

Publication date: 13 February 2007

Abstract: We consider the first-crossing-time problem through a constant boundary for a Wiener process perturbed by random jumps driven by a counting process. On the base of a sample-path analysis of the jump-diffusion process we obtain explicit lower bounds for the first-crossing-time density and for the first-crossing-time distribution function. In the case of the distribution function, the bound is improved by use of processes comparison based on the usual stochastic order. The special case of constant jumps driven by a Poisson process is thoroughly discussed.

Full work available at URL: https://arxiv.org/abs/0706.2755

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Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (4)

• Stochastic Integrate and Fire Models: A Review on Mathematical Methods and Their Applications
• An approximate formula for the first-crossing-time density of a Wiener process perturbed by random jumps
• On first-passage times for one-dimensional jump-diffusion processes
• Bottom crossing probability for symmetric jump processes

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