Speaker：Prof. Zhiming Zhang

                      Chongqing University

Title:     A new method for solving some first passage time problems by Laguerre series expansion

Time：18 Dec 2019, 14:30

Location：Conference Room 105 at Experiment Building at Haiyun Campus

Abstract:   We propose for the first time an explicit closed-form Laguerre series expansion formula for the first passage time density function of a general jump diffusion. In contrast to existing methods in the literature based on numerical Laplace transform inversion, the proposed formula enjoys several advantages: it is in analytical closed-form, simple to implement, converge quickly. Two methods are proposed to compute the Laguerre coefficients, where the first method is based on the fluid embedding technique, the second method relies on potential densities. Various numerical examples are presented to show effectiveness of our method.