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Convergence of hitting times for jump-diffusion processes
Published 7 Sep 2015 in math.PR | (1509.02112v2)
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.
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