Distributions of functionals of diffusions with jumps stopped at the location of the maximum or minimum

DOI10.1007/s10958-011-0407-6zbMath1290.60074OpenAlexW2048559597MaRDI QIDQ2016261

A. N. Borodin

Publication date: 20 June 2014

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-011-0407-6

Mathematics Subject Classification ID

Diffusion processes (60J60)

Cites Work

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• Distribution of functionals of some processes with independent increments
• On the joint distribution of the maximum and its location for a linear diffusion
• On the first exit time from an interval for diffusions with jumps
• Ruin Probabilities for Levy Processes with Mixed-Exponential Negative Jumps

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