First Passage Time Over Two Boundaries For A Diffusion Process With Jumps
碩士 === 國立臺北大學 === 統計學系 === 100 === This paper studies the first passage time over two boundaries for a double exponental jump diffusion process, which consists of a continuous part driven by a Brownian motion and a jump part with jump sizes having a double exponential distribution. Explicit soluti...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/42746282197824726424 |