Department of Mathematical Sciences, Central South University, Changsha, Hunan, China
Copyright © 2011 Jun Peng and Zaiming Liu. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Using an integral equation associated with generalized backward Kolmogorov's equation for
the transition probability density function, recurrence relations are derived for the moments
of the time of first exit of jump-diffusions with Markovian switching. The results are used
to find the expectation of first passage time of some financial models.