Avram, Florin, Leonenko, Nikolai N. ORCID: https://orcid.org/0000-0003-1932-4091 and Rabehasaina, Landy 2009. Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions. Stochastic Analysis and Applications 27 (4) , pp. 770-796. 10.1080/07362990902976611 |
Official URL: http://dx.doi.org/10.1080/07362990902976611
Abstract
We explore the Erlang series approach for the first-time passage problem for a particular class of jump-diffusions with polynomial state-dependent coefficients. This approach may be viewed as a discrete analog of the Laplace transform, which replaces the differential equations with polynomial coefficients satisfied by this function by algebraic recurrences. We identify cases in which the expansion is finite and in which the recurrence is of second order, and thus more easily solved.
Item Type: | Article |
---|---|
Date Type: | Publication |
Status: | Published |
Schools: | Mathematics |
Subjects: | Q Science > QA Mathematics |
Uncontrolled Keywords: | Erlang series, First time passage problem, Jump-diffusion models, Wong–Pearson diffusions |
Publisher: | Taylor and Francis |
ISSN: | 0736-2994 |
Last Modified: | 18 Oct 2022 13:27 |
URI: | https://orca.cardiff.ac.uk/id/eprint/13905 |
Citation Data
Cited 12 times in Scopus. View in Scopus. Powered By Scopus® Data
Actions (repository staff only)
Edit Item |