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arXiv · 1509.02112

Convergence of hitting times for jump-diffusion processes

Georgiy Shevchenko
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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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Georgiy Shevchenko. 2015-09-07. Convergence of hitting times for jump-diffusion processes. https://doi.org/10.15559/15-vmsta32

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