Moments of first-passage places for jump-diffusion processes

DOI10.1007/s13171-019-00181-4zbMath1459.60163OpenAlexW2972078331WikidataQ127322620 ScholiaQ127322620MaRDI QIDQ2023838

Mario Lefebvre

Publication date: 3 May 2021

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-019-00181-4

zbMATH Keywords

Brownian motionPoisson processdifferential-difference equationfirst-passage timejump size

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items

An inverse problem for the first-passage place of some diffusion processes with random starting point ⋮ The inverse first-passage-place problem for Wiener processes

Cites Work

• On the first hitting time of a one-dimensional diffusion and a compound Poisson process
• Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process
• First hitting place distributions for the Ornstein-Uhlenbeck process
• First passage times of a jump diffusion process
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Moments of first-passage places for jump-diffusion processes