First Passage Time Moments of Jump-Diffusions with Markovian Switching

Jun Peng and Zaiming Liu

International Journal of Stochastic Analysis, 2011, vol. 2011, 1-11

Abstract:

Using an integral equation associated with generalized backward Kolmogorov's equation for the transition probability density function, recurrence relations are derived for the moments of the time of first exit of jump-diffusions with Markovian switching. The results are used to find the expectation of first passage time of some financial models.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:501360

DOI: 10.1155/2011/501360

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