Some Explicit Results on First Exit Times for a Jump Diffusion Process Involving Semimartingale Local Time

Shiyu Song ()
Additional contact information
Shiyu Song: Tianjin University

Journal of Theoretical Probability, 2021, vol. 34, issue 4, 2346-2367

Abstract: Abstract In this paper, we consider the one-sided and the two-sided first exit problem for a jump diffusion process with semimartingale local time. Denote this process by $$X=\{X_{t},t\ge 0\}$$ X = { X t , t ≥ 0 } and set $$\tau _{l}=\inf \{t\ge 0, X_{t}\le l\}$$ τ l = inf { t ≥ 0 , X t ≤ l } and $$\tau _{l,u}=\inf \{t\ge 0, X_{t}\notin (l,u)\}$$ τ l , u = inf { t ≥ 0 , X t ∉ ( l , u ) } with $$l

Keywords: First exit time; Jump diffusion process; Semimartingale local time; Laplace transform; 60E05; 60G55; 60H30; 60J55 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10959-020-01040-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jotpro:v:34:y:2021:i:4:d:10.1007_s10959-020-01040-x

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/10959

DOI: 10.1007/s10959-020-01040-x

Access Statistics for this article

Journal of Theoretical Probability is currently edited by Andrea Monica

More articles in Journal of Theoretical Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().