On first-passage times for one-dimensional jump-diffusion processes (Q2772063)

Some problems of first-crossing times over two time-dependent boundaries for one-dimensional jump-diffusion processes are considered. The moments of the first crossing times over each boundary are shown to be solutions of certain partial differential-difference equations with suitable outer conditions. An approach based on the Laplace transform allows to compare the moments of the first crossing times of the jump-diffusion process with those of the corresponding simple-diffusion without jumps. For some examples with constant boundaries the graphic illustrations of the results are presented.