Distributions of the location of maximuma and minimuma for diffusions with jumps
- 18 Downloads
The paper deals with methods of computation of distributions of location for maxima and minima for diffusions with jumps. As an example, we obtain explicit formulas for distributions of location for the maximum of the process which is equal to the sum of a Brownian motion and the compound Poisson process. Bibliography: 8 titles.
KeywordsRussia Brownian Motion Poisson Process Explicit Formula Mathematical Institute
Unable to display preview. Download preview PDF.
- 4.A. N. Borodin, "On the first exit time from an interval for diffusions with jumps," Zap. Nauchn. Semin. POMI, 364, 70–88 (2009).Google Scholar
- 6.A. V. Skorohod, Processes With Independent Increments [in Russian], Moscow (1964).Google Scholar
- 7.A. N. Borodin, "Distribution of functionals of some processes with independent increments," Vestn. St. Peter. Univ., 4, 7–20 (2005).Google Scholar
- 8.A. N. Borodin and P. Salminen, Handbook of Brownian Motion-Fats and Formulae, 2nd ed., Birkhäuser, Basel-Boston-Berlin (2002).Google Scholar