First Passage Time Moments of Jump-Diffusions with Markovian Switching

[摘要] Using an integral equation associated with generalized backward Kolmogorov's equation forthe transition probability density function, recurrence relations are derived for the momentsof the time of first exit of jump-diffusions with Markovian switching. The results are usedto find the expectation of first passage time of some financial models.

[学科分类] 应用数学