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Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions

Avram, Florin, Leonenko, Nikolai N. 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

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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: 04 Jun 2017 02:55
URI: http://orca.cf.ac.uk/id/eprint/13905

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