Convergence of hitting times for jump-diffusion processes
arXiv:1509.02112 · doi:10.15559/15-VMSTA32
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.
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/)