On the first-passage area of a one-dimensional jump-diffusion process

DOI10.1007/S11009-011-9223-1zbMath1267.60089OpenAlexW1989229285MaRDI QIDQ1945603

Mario Abundo

Publication date: 8 April 2013

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-011-9223-1

zbMATH Keywords

Feynman-Kac formulamaximum displacementfirst passage areascalar jump diffusion

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Multiplicative functionals and Markov processes (60J57)

Related Items (8)

The first-passage area of Ornstein-Uhlenbeck process revisited ⋮ First-passage Brownian functionals with stochastic resetting ⋮ Joint distribution of first-passage time and first-passage area of certain Lévy processes ⋮ Asymptotic results for certain first-passage times and areas of renewal processes ⋮ The first-passage area of Wiener process with stochastic resetting ⋮ Stochastic areas of diffusions and applications ⋮ On the joint distribution of first-passage time and first-passage area of drifted Brownian motion ⋮ Maximal distance travelled by \(N\) vicious walkers till their survival

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• On the first-exit time problem for temporally homogeneous Markov processes
• The First Passage Problem for a Continuous Markov Process
• First-Passage Problems for Asymmetric Diffusions and Skew-diffusion Processes

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