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On the Laplace transforms of the first exit times in one-dimensional non-affine jump–diffusion models

Gapeev, Pavel V. and Stoev, Yavor I. (2017) On the Laplace transforms of the first exit times in one-dimensional non-affine jump–diffusion models. Statistics and Probability Letters, 121. pp. 152-162. ISSN 0167-7152

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Identification Number: 10.1016/j.spl.2016.10.011

Abstract

We compute the Laplace transforms of the first exit times for certain one-dimensional jump–diffusion processes from two-sided intervals. The method of proof is based on the solutions of the associated integro-differential boundary value problems for the corresponding value functions. We consider jump–diffusion processes solving stochastic differential equations driven by Brownian motions and several independent compound Poisson processes with multi-exponential jumps. The results are illustrated on the non-affine pure jump analogues of certain mean-reverting or diverting diffusion processes which represent closed-form solutions of the appropriate stochastic differential equations.

Item Type: Article
Official URL: http://www.sciencedirect.com/science/journal/01677...
Additional Information: © 2016 Elsevier B.V
Divisions: Mathematics
Subjects: Q Science > QA Mathematics
Sets: Departments > Mathematics
Date Deposited: 01 Nov 2016 13:03
Last Modified: 30 Jan 2019 20:39
URI: http://eprints.lse.ac.uk/id/eprint/68204

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