Exit problems for jump-diffusion processes with uniform jumps

DOI10.31390/JOSA.1.1.05MaRDI QIDQ6923230zbMATH OpenFDO

Authors Mario Lefebvre

Publication date 30 September 2025

Published in Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.31390/JOSA.1.1.05

zbMATH Keywords

first exit timeintegro-differential equationjump sizePoisson processWiener process

Mathematics Subject Classification ID

Diffusion processes (60J60)

Cites work

• A hyper-Erlang jump-diffusion process and applications in finance
• First passage time moments of jump-diffusions with Markovian switching
• First passage times of a jump diffusion process
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• LQG homing for jump-diffusion processes
• Mean first passage times of two-dimensional processes with jumps
• On first-passage times for one-dimensional jump-diffusion processes
• Option pricing when underlying stock returns are discontinuous
• Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes

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