摘要
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.
基金
This work was supported in part by the National Natural Science Foundation of China(Grant Nos.11571052,11731012)
the Natural Science Foundation of Hunan Province(Grant Nos.2018JJ2417,2019JJ50405)
the Outstanding Youth Foundation of Hunan Province Department of Education(Grant No.18B401)
the China Scholarship Council(Grant No.201808430239)
Open Fund of Hunan Provincial Key Laboratory of Mathematical Modeling and Analysis in Engineering(Grant No.2018MMAEZD02)
the Doctoral Scientific Research Project of Hunan University of Arts and Science.
