On the first-passage area of a one-dimensional jump-diffusion process (Q1945603)
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scientific article; zbMATH DE number 6151593
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the first-passage area of a one-dimensional jump-diffusion process |
scientific article; zbMATH DE number 6151593 |
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On the first-passage area of a one-dimensional jump-diffusion process (English)
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8 April 2013
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For several scalar jump diffusions starting at a positive value, the Laplace transforms and moments of the area traced and the maximum displacement till the hitting-time of zero are analyzed using a Feynman-Kac type representation of the solution to an associated partial differential-difference equation involving the extended generator of the process.
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scalar jump diffusion
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first passage area
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maximum displacement
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Feynman-Kac formula
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