Exact solutions to first-passage problems for jump-diffusion processes

DOI10.4064/BA190812-11-6MaRDI QIDQ6643764zbMATH OpenFDO

Authors Mario Lefebvre

Publication date 27 November 2024

Published in Bulletin of the Polish Academy of Sciences, Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/BA190812-11-6

zbMATH Keywords

Brownian motionsfirst-passage timeintegro-differential equationjump sizePoisson process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Brownian motion (60J65)

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• The ruin problem for a Wiener process with state-dependent jumps
• Exact solution to a first-passage problem for an Ornstein-Uhlenbeck process with jumps and its integral

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