Exit identities for diusion processes observed at Poisson arrival times

doi:10.1007/s11464-020-0839-8

Front. Math. China

2020, Vol. 15

Issue (3) : 507-528 https://doi.org/10.1007/s11464-020-0839-8

RESEARCH ARTICLE

Exit identities for diusion processes observed at Poisson arrival times

Yingqiu LI^1,³(

), Ye CHEN^2,³, Shilin WANG^1,³, Zhaohui PENG^1,³

¹. School of Mathematics and Statistics, Changsha University of Science and Technology, Changsha 410004, China
². College of Mathematics and Physics, Hunan University of Arts and Science, Changde 415000, China
³. Hunan Provincial Key Laboratory of Mathematical Modeling and Analysis in Engineering, Changsha University of Science and Technology, Changsha 410004, China

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Abstract

For diffusion processes, we extend various two-sided exit identities to the situation when the process is only observed at arrival times of an independent Poisson process. The results are expressed in terms of solutions to the differential equations associated with the diffusions generators.

Keywords Time-homogeneous diffusion process exit problem Poisson arrival time Brownian motion

Corresponding Author(s): Yingqiu LI

Issue Date: 21 July 2020

Cite this article:

Yingqiu LI,Ye CHEN,Shilin WANG, et al. Exit identities for diusion processes observed at Poisson arrival times[J]. Front. Math. China, 2020, 15(3): 507-528.

URL:

https://academic.hep.com.cn/fmc/EN/10.1007/s11464-020-0839-8
https://academic.hep.com.cn/fmc/EN/Y2020/V15/I3/507

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