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 formulafirst passage areamaximum displacementscalar jump diffusion

Mathematics Subject Classification ID

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

Review text

For several scalar jump diffusions starting at a positive value, the Laplace transforms and moments of the area traced and the maximum displacement till the hitting-time of zero are analyzed using a Feynman-Kac type representation of the solution to an associated partial differential-difference equation involving the extended generator of the process.

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Cited in

(16)

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

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