| Article ID: | iaor20102937 |
| Volume: | 37 |
| Issue: | 2 |
| Start Page Number: | 127 |
| End Page Number: | 134 |
| Publication Date: | Mar 2009 |
| Journal: | Operations Research Letters |
| Authors: | Cai Ning |
| Keywords: | diffusion models |
We investigate some important probabilistic properties relating to the first passage time of a hyper-exponential jump diffusion process, including its finiteness, expectation, conditional memorylessness, and conditional independence. Moreover, the joint distribution of the first passage time and the overshoot is studied from a primal–dual perspective.