scientific article; zbMATH DE number 5029465

MaRDI QIDQ5470653zbMATH OpenFDO

Authors A. N. Borodin

Publication date 31 May 2006

Full work available at URL https://eudml.org/doc/233024, http://www.pdmi.ras.ru/znsl/2005/v328.html

zbMATH Keywords

Brownian motionfirst exit timejump processstochastic differential equation

Mathematics Subject Classification ID

Linear boundary value problems for ordinary differential equations (34B05) Generalized stochastic processes (60G20) Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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Cited in

(19)

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• Distributions of functionals of diffusions with jumps stopped at the location of the maximum or minimum
• Generalization of the Blumenthal-Getoor index to the class of homogeneous diffusions with jumps and some applications
• Transformations of diffusions with jumps
• Distribution of sojourn time for a Brownian motion with jumps
• Distributions of the location of maximuma and minimuma for diffusions with jumps
• On the first exit time from an interval for diffusions with jumps
• Density estimates for jump diffusion processes
• Distribution of functionals of special diffusions with jumps
• On the distribution of integral functionals of a homogeneous diffusion process
• Distributions of functionals of diffusions with jumps
• Distributions of functionals of bridges of diffusions with jumps
• Integral equations for compound distribution functions
• Stationary distribution of mean-field stochastic functional differential equations with jumps
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• About the distribution of jumping functionals an infinitely remote level for one class of scalar lattice processes
• Distributions of functionals of diffusions with jumps, stopped at random times

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