First passage times of a jump diffusion process

DOI10.1239/aap/1051201658zbMath1037.60073OpenAlexW2110269823MaRDI QIDQ4449508

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

Laplace transform renewal theory Poisson process first passage time Lévy process independent increments jump diffusion process double exponential distribution running maxima Gaver-Stehfest algorithm

Mathematics Subject Classification ID

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

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