Convergence of hitting times for jump-diffusion processes. (English) Zbl 1352.60052
Summary: We investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with jumps. Under reasonable assumptions, we establish the convergence of solutions to the equations and of the moments when the solutions hit certain sets.
MSC:
| 60F17 | Functional limit theorems; invariance principles |
| 60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
| 60J60 | Diffusion processes |
| 60J75 | Jump processes (MSC2010) |
| 60G40 | Stopping times; optimal stopping problems; gambling theory |
| 60G44 | Martingales with continuous parameter |
Keywords:
stochastic differential equations; jump-diffusion processes; hitting times; convergence; Poisson measure; stopping timeReferences:
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