Frontiers of Mathematics in China >
Exit identities for diusion processes observed at Poisson arrival times
Received date: 06 May 2018
Accepted date: 07 May 2020
Published date: 15 Jun 2020
Copyright
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.
Yingqiu LI , Ye CHEN , Shilin WANG , Zhaohui PENG . Exit identities for diusion processes observed at Poisson arrival times[J]. Frontiers of Mathematics in China, 2020 , 15(3) : 507 -528 . DOI: 10.1007/s11464-020-0839-8
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