First passage times of a jump diffusion process (Q4449508)
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scientific article; zbMATH DE number 2040284
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | First passage times of a jump diffusion process |
scientific article; zbMATH DE number 2040284 |
Statements
First passage times of a jump diffusion process (English)
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11 February 2004
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jump diffusion process
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Lévy process
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independent increments
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Laplace transform
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renewal theory
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Gaver-Stehfest algorithm
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Poisson process
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first passage time
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running maxima
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double exponential distribution
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