Frontiers of Mathematics in China >

2020 , Vol. 15 >Issue 3: 507 - 528

DOI: https://doi.org/10.1007/s11464-020-0839-8

RESEARCH ARTICLE

Exit identities for diusion processes observed at Poisson arrival times

  • Yingqiu LI , 1,3 ,
  • Ye CHEN 2,3 ,
  • Shilin WANG 1,3 ,
  • Zhaohui PENG 1,3
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  • 1. School of Mathematics and Statistics, Changsha University of Science and Technology, Changsha 410004, China
  • 2. College of Mathematics and Physics, Hunan University of Arts and Science, Changde 415000, China
  • 3. Hunan Provincial Key Laboratory of Mathematical Modeling and Analysis in Engineering, Changsha University of Science and Technology, Changsha 410004, China

Received date: 06 May 2018

Accepted date: 07 May 2020

Published date: 15 Jun 2020

Copyright

2020 Higher Education Press
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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.

Key words： Time-homogeneous diffusion process; exit problem; Poisson arrival time; Brownian motion

Cite this article

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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