First passage times of a jump diffusion process (Q4449508): Difference between revisions

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Latest revision as of 14:47, 6 June 2024

scientific article; zbMATH DE number 2040284
Language Label Description Also known as
English
First passage times of a jump diffusion process
scientific article; zbMATH DE number 2040284

    Statements

    First passage times of a jump diffusion process (English)
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    11 February 2004
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    jump diffusion process
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    Lévy process
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    independent increments
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    Laplace transform
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    renewal theory
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    Gaver-Stehfest algorithm
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    Poisson process
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    first passage time
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    running maxima
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    double exponential distribution
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    Identifiers

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