Moments of First-Passage Places for Jump-Diffusion Processes
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DOI: 10.1007/s13171-019-00181-4
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References listed on IDEAS
- 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.
- Lefebvre, Mario, 1997. "First hitting place distributions for the Ornstein-Uhlenbeck process," Statistics & Probability Letters, Elsevier, vol. 34(3), pages 309-312, June.
- Lefebvre, Mario, 1989. "Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process," Stochastic Processes and their Applications, Elsevier, vol. 32(2), pages 281-287, August.
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Keywords
First-passage time; Brownian motion; Poisson process; jump size; differential-difference equation.;All these keywords.
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