First-passage problems for diffusion processes with state-dependent jumps

Mario Lefebvre

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 9, 2908-2918

Abstract: Let X(t) be a time-homogeneous jump-diffusion process. We assume that the jump size depends on the value of X(t). We obtain analytical results for the moments of T(x) and of X(T(x)), where T(x) is the first time that the process leaves the interval (a, b). We also compute P[X(T(x))≤a]. These results have applications in financial mathematics.

Date: 2022
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DOI: 10.1080/03610926.2020.1784433

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