On the first-passage area of a one-dimensional jump-diffusion process
type: Item
instance of: scholarly article
title: On the first-passage area of a one-dimensional jump-diffusion process
zbMATH Open document ID: 1267.60089
published in: Methodology and Computing in Applied Probability
publication date: 2013-04-08T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60J57
Mathematics Subject Classification ID: 60J25
zbMATH DE Number: 6151593
zbMATH Keywords: scalar jump diffusion
zbMATH Keywords: first passage area
zbMATH Keywords: maximum displacement
zbMATH Keywords: Feynman-Kac formula
author: Mario Abundo
MaRDI profile type: Publication
full work available at URL: s11009-011-9223-1
OpenAlex ID: W1989229285
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DOI: 10.1007/S11009-011-9223-1
description: scientific article; zbMATH DE number 6151593