{"title":"具有马尔可夫切换的跳跃扩散的首次通过时间矩","authors":"Jun Peng, Zaiming Liu","doi":"10.1155/2011/501360","DOIUrl":null,"url":null,"abstract":"Using an integral equation associated with generalized backward Kolmogorov's equation for the transition probability density function, recurrence relations are derived for the moments of the time of first exit of jump-diffusions with Markovian switching. The results are used to find the expectation of first passage time of some financial models.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"86 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2011-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"First Passage Time Moments of Jump-Diffusions with Markovian Switching\",\"authors\":\"Jun Peng, Zaiming Liu\",\"doi\":\"10.1155/2011/501360\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Using an integral equation associated with generalized backward Kolmogorov's equation for the transition probability density function, recurrence relations are derived for the moments of the time of first exit of jump-diffusions with Markovian switching. The results are used to find the expectation of first passage time of some financial models.\",\"PeriodicalId\":196477,\"journal\":{\"name\":\"International Journal of Stochastic Analysis\",\"volume\":\"86 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2011-03-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Stochastic Analysis\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1155/2011/501360\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Stochastic Analysis","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1155/2011/501360","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
First Passage Time Moments of Jump-Diffusions with Markovian Switching
Using an integral equation associated with generalized backward Kolmogorov's equation for the transition probability density function, recurrence relations are derived for the moments of the time of first exit of jump-diffusions with Markovian switching. The results are used to find the expectation of first passage time of some financial models.
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