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Exit identities for diusion processes observed at Poisson arrival times |
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| Authors: | Yingqiu LI Ye CHEN Shilin WANG Zhaohui PENG |
| Affiliation: | 1. School of Mathematics and Statistics, Changsha University of Science and Technology, Changsha 410004, China2. College of Mathematics and Physics, Hunan University of Arts and Science, Changde 415000, China3. Hunan Provincial Key Laboratory of Mathematical Modeling and Analysis in Engineering, Changsha University of Science and Technology, Changsha 410004, China |
| 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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