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Two-Sided First Exit Problem for Jump Diffusion Distribution Processes Having Jumps with a Mixture of Erlang
School of Mathematical Sciences, Qufu Normal University, Qufu, China
School of Mathematical Sciences, Qufu Normal University, Qufu, China
- 1 School of Mathematical Sciences, Qufu Normal University, Qufu, China
- 2 School of Mathematical Sciences, Qufu Normal University, Qufu, China
Applied Mathematics·Volume 04 (2013)·Pages 1142–1153·Published 23 July 2013·DOI10.4236/am.2013.48153
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Abstract
In this paper, we consider the two-sided first exit problem for jump diffusion processes having jumps with rational Laplace transforms. We investigate the probabilistic property of conditional memorylessness, and drive the joint distribution of the first exit time from an interval and the overshoot over the boundary at the exit time.
KeywordsFirst Exit TimeTwo-Sided JumpsJump Diffusion ProcessOvershoot
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