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

Gapeev, Pavel V. and Stoev, Yavor I. (2016) On the Laplace transforms of the first exit times in one-dimensional non-affine jump–diffusion models. Statistics and Probability Letters . ISSN 0167-7152 (In Press)

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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
Library of Congress subject classification:	Q Science > QA Mathematics
Sets:	Departments > Mathematics
Date Deposited:	01 Nov 2016 13:03
URL:	http://eprints.lse.ac.uk/68204/

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