First passage times of a jump diffusion process

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

Hui Wang, S. G. Kou

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

60G51: Processes with independent increments; Lévy processes

44A10: Laplace transform

60J27: Continuous-time Markov processes on discrete state spaces

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