On the first exit time from an interval for diffusions with jumps

DOI10.1007/S10958-009-9678-6MaRDI QIDQ2452918zbMATH OpenOpenAlexFDO

Authors A. N. Borodin

Publication date 6 June 2014

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-009-9678-6

Mathematics Subject Classification ID

Sample path properties (60G17)

Recommendations

• Distributions of functionals of diffusions with jumps, stopped at random times
• scientific article; zbMATH DE number 5029465
• Distribution of functionals of special diffusions with jumps
• Distributions of functionals of diffusions with jumps
• Distributions of functionals of bridges of diffusions with jumps

Cites work

• Distributions of functionals of diffusions with jumps
• scientific article; zbMATH DE number 50113 (Why is no real title available?)
• scientific article; zbMATH DE number 5029465 (Why is no real title available?)
• scientific article; zbMATH DE number 3240797 (Why is no real title available?)
• On the Distribution of the Supremum Functional for Processes with Stationary Independent Increments
• Ruin Probabilities for Levy Processes with Mixed-Exponential Negative Jumps

Cited in

(12)

• Optimal local first exit time
• Distributions of functionals of switching diffusions
• Exit problems for jump processes with applications to dividend problems
• Distributions of functionals of diffusions with jumps stopped at the location of the maximum or minimum
• Distributions of the location of maximuma and minimuma for diffusions with jumps
• Computing the exit-time for a finite-range symmetric jump process
• Distributions of functionals of diffusions with jumps
• Distributions of functionals of bridges of diffusions with jumps
• Asymptotic exponentiality of the first exit time of the Shiryaev–Roberts diffusion with constant positive drift
• scientific article; zbMATH DE number 7640332 (Why is no real title available?)
• First time to exit of a continuous Itô process: general moment estimates and \({\mathbf{L}}_{1}\)-convergence rate for discrete time approximations
• Distributions of functionals of diffusions with jumps, stopped at random times

This page was built for publication: On the first exit time from an interval for diffusions with jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2452918)