An approximate formula for the first-crossing-time density of a Wiener process perturbed by random jumps

DOI10.1016/j.spl.2009.03.019zbMath1169.60314OpenAlexW2036720796MaRDI QIDQ2389329

Maria Teresa Giraudo

Publication date: 15 July 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.03.019

Mathematics Subject Classification ID

Gaussian processes (60G15)

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Cites Work

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• Sufficient Poisson jump diffusion market models revisited
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