On first passage times of a hyper-exponential jump diffusion process

Authors:
Ning Cai
Affiliations:
Room 5521, Department of Industrial Engineering and Logistics Management, The Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong
Venue:
Operations Research Letters
Year:
2009

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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.