Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142981 | Operations Research Letters | 2009 | 8 Pages |
Abstract
We investigate some important probabilistic properties relating to the first passage time of a hyper-exponential jump diffusion process, including its finiteness, expectation, conditional memorylessness, and conditional independence. Moreover, the joint distribution of the first passage time and the overshoot is studied from a primal–dual perspective.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Ning Cai,