Convergence of hitting times for jump-diffusion processes
Volume 2, Issue 3 (2015): PRESTO-2015, pp. 203–218
Pub. online: 23 September 2015
Type: Research Article
Open Access
Open Access
Received
16 February 2015
16 February 2015
Revised
7 September 2015
7 September 2015
Accepted
7 September 2015
7 September 2015
Published
23 September 2015
23 September 2015
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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