On the First-Passage Area of a One-Dimensional Jump-Diffusion Process
Author
Abstract
Suggested Citation
DOI: 10.1007/s11009-011-9223-1
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Frank B. Knight, 2000. "The moments of the area under reflected Brownian bridge conditional on its local time at zero," International Journal of Stochastic Analysis, Hindawi, vol. 13, pages 1-26, January.
- Mario Abundo, 2010. "On the First Hitting Time of a One-dimensional Diffusion and a Compound Poisson Process," Methodology and Computing in Applied Probability, Springer, vol. 12(3), pages 473-490, September.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Mario Abundo & Danilo Del Vescovo, 2017. "On the Joint Distribution of First-passage Time and First-passage Area of Drifted Brownian Motion," Methodology and Computing in Applied Probability, Springer, vol. 19(3), pages 985-996, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Zhang, Jian-Xun & Hu, Chang-Hua & He, Xiao & Si, Xiao-Sheng & Liu, Yang & Zhou, Dong-Hua, 2017. "Lifetime prognostics for deteriorating systems with time-varying random jumps," Reliability Engineering and System Safety, Elsevier, vol. 167(C), pages 338-350.
- Tung-Lung Wu, 2020. "Boundary Crossing Probabilities of Jump Diffusion Processes to Time-Dependent Boundaries," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 13-24, March.
- Mario Abundo & Sara Furia, 2019. "Joint Distribution of First-Passage Time and First-Passage Area of Certain Lévy Processes," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1283-1302, December.
- Mario Lefebvre, 2021. "Moments of First-Passage Places for Jump-Diffusion Processes," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 245-253, February.
- Song, Shiyu & Wang, Suxin & Wang, Yongjin, 2016. "On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 90-105.
- Mario Abundo & Danilo Del Vescovo, 2017. "On the Joint Distribution of First-passage Time and First-passage Area of Drifted Brownian Motion," Methodology and Computing in Applied Probability, Springer, vol. 19(3), pages 985-996, September.
More about this item
Keywords
First-passage time; First-passage area; One-dimensional jump-diffusion;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:metcap:v:15:y:2013:i:1:d:10.1007_s11009-011-9223-1. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.