On the first hitting time of a one-dimensional diffusion and a compound Poisson process

DOI10.1007/s11009-008-9115-1zbMath1210.60086OpenAlexW2107815566MaRDI QIDQ708789

Mario Abundo

Publication date: 14 October 2010

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-008-9115-1

zbMATH Keywords

diffusionPoisson processfirst-passage time

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic integrals (60H05)

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