Convergence of hitting times for jump-diffusion processes (1509.02112v2)

Published 7 Sep 2015 in math.PR

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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Authors (1)

Georgiy Shevchenko

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