Convergence of hitting times for jump-diffusion processes
Probability
2015-10-09 v2
Abstract
We investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with jumps. Under reasonable assumptions, we establish the convergence of solutions to the equations and of the moments when the solutions hit certain sets.
Keywords
Cite
@article{arxiv.1509.02112,
title = {Convergence of hitting times for jump-diffusion processes},
author = {Georgiy Shevchenko},
journal= {arXiv preprint arXiv:1509.02112},
year = {2015}
}
Comments
Published at http://dx.doi.org/10.15559/15-VMSTA32 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)