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Exit identities for diffusion processes observed at Poisson arrival times

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成果类型:
期刊论文
作者:
Li, Yingqiu*;Chen, Ye;Wang, Shilin;Peng, Zhaohui
通讯作者:
Li, Yingqiu
作者机构:
[Li, Yingqiu; Wang, Shilin; Peng, Zhaohui] Changsha Univ Sci & Technol, Sch Math & Stat, Changsha 410004, Peoples R China.
[Chen, Ye] Hunan Univ Arts & Sci, Coll Math & Phys, Changde 415000, Peoples R China.
[Li, Yingqiu; Wang, Shilin; Peng, Zhaohui; Chen, Ye] Changsha Univ Sci & Technol, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410004, Peoples R China.
通讯机构:
[Li, Yingqiu] C
Changsha Univ Sci & Technol, Sch Math & Stat, Changsha 410004, Peoples R China.
Changsha Univ Sci & Technol, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha 410004, Peoples R China.
语种:
英文
关键词:
Time-homogeneous diffusion process;exit problem;Poisson arrival time;Brownian motion
期刊:
中国高等学校学术文摘·数学
ISSN:
1673-3452
年:
2020
卷:
15
期:
3
页码:
507-528
基金类别:
The authors thank the referees for helpful comments. They would also like to thank Professor Xiaowen Zhou for useful suggestions. This work was supported in part by the National Natural Science Foundation of China (Grant Nos. 11571052, 11731012), the Natural Science Foundation of Hunan Province (Grant Nos. 2018JJ2417, 2019JJ50405), the Outstanding Youth Foundation of Hunan Province Department of Education (Grant No. 18B401), the China Scholarship Council (Grant No. 201808430239), the Open Fund of Hunan Provincial Key Laboratory of Mathematical Modeling and Analysis in Engineering (Grant No. 2018MMAEZD02), and the Doctoral Scientific Research Project of Hunan University of Arts and Science.
机构署名:
本校为第一且通讯机构
院系归属:
数学与统计学院
摘要:
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 w...

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