Joint distribution of first-passage time and first-passage area of certain Lévy processes

DOI10.1007/s11009-018-9677-5zbMath1437.60027OpenAlexW2894573071MaRDI QIDQ2176370

Sara Furia, Mario Abundo

Publication date: 4 May 2020

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

Full work available at URL: https://doi.org/10.1007/s11009-018-9677-5

zbMATH Keywords

Lévy processjump-diffusionfirst-passage timefirst-passage area

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60)

Related Items (3)

First-passage Brownian functionals with stochastic resetting ⋮ Asymptotic results for certain first-passage times and areas of renewal processes ⋮ The first-passage area of Wiener process with stochastic resetting

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the distribution of Brownian areas
• The moments of the area under reflected Brownian bridge conditional on its local time at zero
• A Monte Carlo method for the simulation of first passage times of diffusion processes
• On the joint distribution of first-passage time and first-passage area of drifted Brownian motion
• On the first-passage area of a one-dimensional jump-diffusion process
• Investigating the Distribution of the First-Crossing Area of a Diffusion Process with Jumps Over a Threshold
• On the first-exit time problem for temporally homogeneous Markov processes
• First passage times of a jump diffusion process
• On correlations between certain random variables associated with first passage Brownian motion
• The first-passage area for drifted Brownian motion and the moments of the Airy distribution
• The First Passage Problem for a Continuous Markov Process

This page was built for publication: Joint distribution of first-passage time and first-passage area of certain Lévy processes