On hitting times for jump-diffusion processes with past dependent local characteristics (Q689177)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On hitting times for jump-diffusion processes with past dependent local characteristics |
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On hitting times for jump-diffusion processes with past dependent local characteristics (English)
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9 December 1993
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For a diffusion process which is disturbed by upwards jumps of a compound Poisson process one can obtain the Laplace transform for the first hitting time of zero by martingale techniques. Some consequences in the case of time and history dependent characteristics are investigated.
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upwards jumps of a compound Poisson process
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Laplace transform
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first hitting time of zero
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