Moments of First-Passage Places for Jump-Diffusion Processes

Mario Lefebvre ()
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Mario Lefebvre: Polytechnique Montréal

Sankhya A: The Indian Journal of Statistics, 2021, vol. 83, issue 1, No 10, 245-253

Abstract: Abstract Let T be the first time that the time-homogeneous jump-diffusion process X(t) leaves the interval (a, b). The jump size is assumed to be a positive constant. We derive exact formulas for E[Xk(T)] in special cases. For the general case, an approximate analytical expression can be obtained for E[Xk(T)]. This expression is precise when the jump size is small.

Keywords: First-passage time; Brownian motion; Poisson process; jump size; differential-difference equation.; Primary 60J75; Secondary 60J60 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s13171-019-00181-4

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