First passage times of a jump diffusion process

DOI10.1239/AAP/1051201658MaRDI QIDQ4449508zbMATH OpenOpenAlexFDO

Authors S. G. Kou, Hui Wang

Publication date 11 February 2004

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1051201658

zbMATH Keywords

double exponential distributionfirst passage timeGaver-Stehfest algorithmindependent incrementsjump diffusion processLaplace transformLévy processPoisson processrenewal theoryrunning maxima

Mathematics Subject Classification ID

Laplace transform (44A10) Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on discrete state spaces (60J27)

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Cited in

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