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The Hitting Time for a Cox Risk Process
Wu Rong *,Wang Wei
School of Mathematical Sciences and LPMC, NanKai University, TianJin 300071
*Correspondence author
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Funding: the National Natural Science Foundation of China（No.Grant No. 10871102）, National Basic Research Program of China(973 Program)（No.Grant No. 2007CB814905）
Opened online:13 February 2012
Accepted by: none
Citation: Wu Rong ,Wang Wei .The Hitting Time for a Cox Risk Process[OL]. [13 February 2012] http://en.paper.edu.cn/en_releasepaper/content/4457932
 
 
This paper investigates the hitting timeand the last exit time of a Cox risk process whose intensity processis a markovian jump process. By a ``backward differential argument"and the Markov property of the intensity process, we derive theintegro-differential equation satisfied by the Laplace transform ofthe hitting time. Exact solution to this equation could beconstructed by the probability method. Further, we investigate thesituation when the intensity process is an n-state Markov process
Keywords:stochastic processes; Cox process; hitting time; markovian jump process; the last exit time
 
 
 

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