Approximating the First Passage Time Density of Diffusion Processes with State-Dependent Jumps
We study the problem of the first passage time through a constant boundary for a jump diffusion process whose infinitesimal generator is a nonlocal Jacobi operator. Due to the lack of analytical results, we address the problem using a discretization scheme for simulating the trajectories of jump dif...
Main Authors: | Giuseppe D’Onofrio, Alessandro Lanteri |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2022-12-01
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Series: | Fractal and Fractional |
Subjects: | |
Online Access: | https://www.mdpi.com/2504-3110/7/1/30 |
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