First passage times of a jump diffusion process (Q4449508)
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scientific article; zbMATH DE number 2040284
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| 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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0.8283002972602844
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0.8239685893058777
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0.8210543394088745
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0.8094987273216248
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0.8074161410331726
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