First-passage problems for diffusion processes with state-dependent jumps

DOI10.1080/03610926.2020.1784433MaRDI QIDQ5081034zbMATH OpenOpenAlexFDO

Authors Mario Lefebvre

Publication date 1 June 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2020.1784433

zbMATH Keywords

Brownian motiondifferential-difference equationfirst-passage timejump sizePoisson process

Mathematics Subject Classification ID

Diffusion processes (60J60)

Cites work

• First hitting place distributions for the Ornstein-Uhlenbeck process
• First passage time moments of jump-diffusions with Markovian switching
• First passage times of a jump diffusion process
• Hitting place probabilities for two-dimensional diffusion processes
• scientific article; zbMATH DE number 5038530 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• LQG homing for jump-diffusion processes
• Mean first passage times of two-dimensional processes with jumps
• Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process
• On first-passage times for one-dimensional jump-diffusion processes
• On the first hitting time of a one-dimensional diffusion and a compound Poisson process
• Option pricing when underlying stock returns are discontinuous

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