Distributions of functionals of diffusions with jumps, stopped at random times

DOI10.1007/s10958-015-2297-5zbMath1376.60071OpenAlexW2059214002MaRDI QIDQ906764

A. N. Borodin

Publication date: 29 January 2016

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-015-2297-5

zbMATH Keywords

diffusions with jumps

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Cites Work

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• On the Distribution of the Supremum Functional for Processes with Stationary Independent Increments
• Ruin Probabilities for Levy Processes with Mixed-Exponential Negative Jumps
• On Distributions of Certain Wiener Functionals