First-passage problems for diffusion processes with state-dependent jumps

DOI10.1080/03610926.2020.1784433OpenAlexW3040280777MaRDI QIDQ5081034

Mario Lefebvre

Publication date: 1 June 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1784433

zbMATH Keywords

Brownian motionPoisson processdifferential-difference equationfirst-passage timejump size

Mathematics Subject Classification ID

Diffusion processes (60J60)

Cites Work

• First passage time moments of jump-diffusions with Markovian switching
• Mean first passage times of two-dimensional processes with jumps
• 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
• Option pricing when underlying stock returns are discontinuous
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