On the first-passage area of a one-dimensional jump-diffusion process
For several scalar jump diffusions starting at a positive value, the Laplace transforms and moments of the area traced and the maximum displacement till the hitting-time of zero are analyzed using a Feynman-Kac type representation of the solution to an associated partial differential-difference equation involving the extended generator of the process.
scientific article; zbMATH DE number 6151593
scientific article