On certain bounds for first-crossing-time probabilities of a jump-diffusion process

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dc.creatorDi Crescenzo, Antonio
dc.creatorDi Nardo, Elvira
dc.creatorRicciardi, Luigi M.
dc.date2007-06-19
dc.date.accessioned2026-07-07T08:11:03Z
dc.date.available2026-07-07T08:11:03Z
dc.descriptionWe consider the first-crossing-time problem through a constant boundary for a Wiener process perturbed by random jumps driven by a counting process. On the base of a sample-path analysis of the jump-diffusion process we obtain explicit lower bounds for the first-crossing-time density and for the first-crossing-time distribution function. In the case of the distribution function, the bound is improved by use of processes comparison based on the usual stochastic order. The special case of constant jumps driven by a Poisson process is thoroughly discussed.
dc.description12 pages, 4 figures
dc.identifierhttps://arxiv.org/abs/0706.2755
dc.identifierhttp://arxiv.org/abs/0706.2755
dc.identifierSci. Math. Jpn. 64 (2006), no. 2, 449-460
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/132004
dc.subjectProbability
dc.subject60G40; 60J65; 60E15
dc.titleOn certain bounds for first-crossing-time probabilities of a jump-diffusion process
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