Distributions of the location of maximuma and minimuma for diffusions with jumps

DOI10.1007/S10958-010-9933-XzbMath1288.60102OpenAlexW1971398112MaRDI QIDQ2452615

A. N. Borodin

Publication date: 4 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/s10958-010-9933-x

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

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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