On the first-passage area of a one-dimensional jump-diffusion process

DOI10.1007/S11009-011-9223-1MaRDI QIDQ1945603zbMATH OpenOpenAlexFDO

Authors Mario Abundo

Publication date 8 April 2013

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-011-9223-1

zbMATH Keywords

Feynman-Kac formulamaximum displacementfirst passage areascalar jump diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Multiplicative functionals and Markov processes (60J57)

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• Comment on ‘Position-dependent effective mass Dirac equations withPT-symmetric and non-PT-symmetric potentials’
• First-passage problems for asymmetric diffusions and skew-diffusion processes
• On first-passage times for one-dimensional jump-diffusion processes
• On the area under a continuous time Brownian motion till its first-passage time
• On the distribution of Brownian areas
• On the first hitting time of a one-dimensional diffusion and a compound Poisson process
• On the first-exit time problem for temporally homogeneous Markov processes
• The First Passage Problem for a Continuous Markov Process
• The first-passage area of an emptying Brownian queue
• The moments of the area under reflected Brownian bridge conditional on its local time at zero

Cited in

(12)

• First-passage Brownian functionals with stochastic resetting
• On hitting times for jump-diffusion processes with past dependent local characteristics
• On the area under a continuous time Brownian motion till its first-passage time
• Moments of first-passage places for jump-diffusion processes
• First-passage problems for one-dimensional diffusions with random jumps from a boundary
• Joint distribution of first-passage time and first-passage area of certain Lévy processes
• Maximal distance travelled by \(N\) vicious walkers till their survival
• Stochastic areas of diffusions and applications
• The first-passage area of Wiener process with stochastic resetting
• Asymptotic results for certain first-passage times and areas of renewal processes
• The first-passage area of Ornstein-Uhlenbeck process revisited
• On the joint distribution of first-passage time and first-passage area of drifted Brownian motion

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