Exit identities for diusion processes observed at Poisson arrival times

Yingqiu LI; Ye CHEN; Shilin WANG; Zhaohui PENG

doi:10.1007/s11464-020-0839-8

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Front. Math. China ›› 2020, Vol. 15 ›› Issue (3) : 507-528. DOI: 10.1007/s11464-020-0839-8

RESEARCH ARTICLE

Exit identities for diusion processes observed at Poisson arrival times

Yingqiu LI¹^,³ ,
Ye CHEN²^,³ ,
Shilin WANG¹^,³ ,
Zhaohui PENG¹^,³

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Abstract

For diffusion processes, we extend various two-sided exit identities to the situation when the process is only observed at arrival times of an independent Poisson process. The results are expressed in terms of solutions to the differential equations associated with the diffusions generators.

Keywords

Time-homogeneous diffusion process / exit problem / Poisson arrival time / Brownian motion

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Yingqiu LI, Ye CHEN, Shilin WANG, Zhaohui PENG. Exit identities for diusion processes observed at Poisson arrival times. Front. Math. China, 2020, 15(3): 507‒528 https://doi.org/10.1007/s11464-020-0839-8

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