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arXiv · 0706.2755

On certain bounds for first-crossing-time probabilities of a jump-diffusion process

Antonio Di Crescenzo·Elvira Di Nardo·Luigi M. Ricciardi
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Abstract

We consider the first-crossing-time problem through a constant boundary for a Wiener process perturbed by random jumps driven by a counting process. On the base of a sample-path analysis of the jump-diffusion process we obtain explicit lower bounds for the first-crossing-time density and for the first-crossing-time distribution function. In the case of the distribution function, the bound is improved by use of processes comparison based on the usual stochastic order. The special case of constant jumps driven by a Poisson process is thoroughly discussed.

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Antonio Di Crescenzo, Elvira Di Nardo, Luigi M. Ricciardi. 2007-06-19. On certain bounds for first-crossing-time probabilities of a jump-diffusion process. https://arxiv.org/abs/0706.2755

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