First passage time law for some Lévy processes with compound Poisson: existence of a density

DOI10.3150/10-BEJ323zbMath1230.60049arXiv0904.1669MaRDI QIDQ654399

Laure Coutin, Diana Dorobantu

Publication date: 28 December 2011

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.1669

zbMATH Keywords

Lévy processjump processfirst passage time law

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (4)

Statistical arbitrage in jump-diffusion models with compound Poisson processes ⋮ PDE for the joint law of the pair of a continuous diffusion and its running maximum ⋮ Joint distribution of a Lévy process and its running supremum ⋮ Existence and regularity of law density of a pair (diffusion, first component running maximum)

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