On first passage times of sticky reflecting diffusion processes with double exponential jumps

DOI10.1017/jpr.2019.93zbMath1462.60104OpenAlexW3022454984WikidataQ115563651 ScholiaQ115563651MaRDI QIDQ5109497

Publication date: 12 May 2020

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2019.93

zbMATH Keywords

first passage time double exponential jumps sticky reflecting processes

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (1)

Some explicit results on first exit times for a jump diffusion process involving semimartingale local time

Cites Work

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